Insurer Strategy Application
Set retention, limits and capital issuance against projected return on equity
The problem
A credit or political risk insurer makes the same decision thousands of times a year: how much of this risk do we keep, and how much do we cede? Taken one policy at a time it is a judgement. Taken together it determines the return on equity, and almost nobody models it that way in advance. The Insurer Strategy Application projects ROE and risk-adjusted ROE forward so retention rates, limits and capital issuance can be set deliberately.
What it does
Projects an insurer’s ROE and risk-adjusted ROE forward, simulating the retention and cession decision at issuance against both limit headroom and reinsurance capacity, with a full decomposition of where the return comes from.
Who uses it
Credit and political risk insurers, Reinsurers, Export credit agencies
What’s inside
AssumptionsEquity contribution schedule · Portfolio growth rates by line · Target retention per business line · Monthly exposure generation
Decision simulationRetention and cession at issuance · Against limit headroom · Against reinsurance capacity · Business-line granularity
Capital and reservesRatings-based Monte Carlo economic capital · VaR at chosen confidence level · Technical reserve projection · Claims-paid projection
ReturnFull ROE decomposition · Risk-adjusted ROE · Operating expenses as affine function of GWP · Net financial income
What changes for your risk team
- Retention, limits and reinsurance tied directly to return on equity.
- The optimal retention rate by business line, not a rule of thumb.
- A forward view to decide when to raise capital.
How it feeds the rest of the suite
- Management and the board: projected ROE and risk-adjusted ROE by strategy
See Insurer Strategy Application on your own data
A demo takes an hour. A pilot on your portfolio takes weeks, not quarters.