Dynamo were engaged to carry out a review of the effectiveness of the existing reinsurance programme for a Mauritian insurer. Our client had no previous experience in the stochastic modelling of insurance risk. The exercise was an important step for our client to understand the risk-reward of their current programme, and to explore other programmes that may either increase or decrease the amount of cover in line with their risk appetite.
We carried out a gross claims parameterisation exercise for each class of business and modelledthe surplus and excess of loss treaties in the current programme. We presented findings back in the form of key metrics, such as utilisation rates by layer, reinsurer loss ratio by layer and overall reduction in capital.
The metrics replayed to our client suggested certain areas of their reinsurance programme may be under-utilised. A follow up exercise is being conducted to explore other options available in the reinsurance market.