Perrenial's insights are written for the people we work with every day: captive owners and managers, MGAs and Lloyd's coverholders, and risk and reserving teams at Lloyd's syndicates and insurers. They explain the practical questions behind our actuarial work, such as what data is needed, how risk should be measured and how to put your own results in front of a capacity provider with confidence.
Our articles are written by Asad Khalil FIA, Managing Director and founder of Perrenial. Some were first published on LinkedIn or in the trade press. We bring them together here, in full or as a summary linking to the original, so they are easy to find and share.
Captives · Data · First published in Captive Review, September 2020
The hardening insurance market prompted a sharp increase in captive formation enquiries in Europe and the US. For a feasibility study to be reliable, the actuary needs the right data. This article sets out what the core dataset should contain and why each part matters: individual claims data, triangulations of incurred claims and claim numbers, exposure data, and details of the current (re)insurance programme and premiums. It also explains how relying on benchmark development patterns can push a projected captive premium too high or too low.
Read our summary: Data is key for captive formations
Related service: captive actuarial services
Coverholders · Delegated authority · First published on LinkedIn, 1 June 2020
When a capacity provider reviews a binder, the coverholder's data ends up on an actuary's desk. Asad sets out the basic data requirements: individual loss data, a list of large losses, triangulations, gross written premium with rate change, true underlying exposure, and brokerage, coverholder fees and carrier expenses. He explains why gaps in each can make the projected performance look worse than the coverholder expects.
Read: What data should Lloyd's coverholders be providing to capacity providers?
Related services: binder and coverholder portfolio analysis and MGA pricing
Modelling · Risk measures · First published on LinkedIn, 18 April 2017
Value-at-Risk (VaR) is widely used by insurers and regulators, but it does not always satisfy sub-additivity, one of the four properties of a coherent measure of risk. Asad compares VaR with Tail-Value-at-Risk (TVaR), which satisfies all four, and explains why risk and insurance managers should be aware of VaR's shortcomings.
Read: VaR or TVaR, which measure of risk should insurance and risk managers be using?
Related services: (re)insurance programme design optimisation and captive actuarial services
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A note on our articles
Our insights are general commentary, written to inform discussion. They are not advice on any specific situation. If you would like to talk through how a topic applies to your organisation, please get in touch.
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