Catastrophe Risk Tolerance Study 2019thoughtleadership.aonbenfield.com/Documents/...risk-tolerance-stud… · Catastrophe Risk Tolerance Disclosure Trend Analysis Sample Composite

Catastrophe Risk Tolerance StudyPublic disclosures by sectorYear-end 2019

2Proprietary & Confidential

Contents

Section 1 Overview and Key FindingsSection 2 Analysis of Disclosure DataSection 3 Risk Tolerance Metrics DisclosureSection 4 Risk Tolerance Summary

3

Section 1: Overview and Key Findings


Insured losses from natural disasters in 2019 reached USD71 billion and were significantly lower than the record USD157 billion in 2017 and USD100 billion in 2018

However, despite the major reduction in 2019, payouts from public and private insurance entities were higher than both the 21st century average (USD67 billion) and median (USD59 billion)

After driving exceptional insured losses in 2017 and 2018, the wildfire peril contributed to catastrophe losses once again in 2019 – but substantially less than the previous two years

2000 - 2019 Catastrophe Insured Losses

Source: Aon’s Analytics Division in Reinsurance Solutions

0

20

40

60

80

100

120

140

160

180

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

$ B

n (2

019)

Other Drought Winter Weather Wildfire EU Windstorm Earthquake Flooding Severe Weather Tropical Cyclone


Composition Includes 91 unique re(insurers) on a global basis that report

catastrophe loss information in their financial disclosures

Percentage reporting has been relatively flat over the last few years with a spike in 2013; most companies provide catastrophe disclosures on a consistent basis

84% of the industry disclosed some type of information relating to catastrophe risk tolerance, which is higher than that of the year-end 2018 disclosure; the percentage of "primary" source disclosures increased slightly to 77%

Catastrophe Risk Tolerance Study Overview

Note: The following companies were part of the 2018 study but are not included in the 2019 study due to M&A activity: Aspen Insurance Holdings Limited, EMC Insurance Group Inc. The following companies were added to the 2019 study: NI Holdings Inc, ProSight Global Inc., Sirius International Insurance Group Ltd., Watford Holdings Ltd.

Population excludes (re)insurers from Medical Professional Liability, Life & Health, Financial / Mortgage Guaranty and Title sectors

69% 69% 68% 69% 73% 76% 77%

19% 15% 14% 13% 12% 6% 7%

0%

25%

50%

75%

100%

2013 2014 2015 2016 2017 2018 2019

Disclosure

Primary Source Secondary Source

Data Sources 2018 2019 2018 (%) 2019 (%)

Primary 68 70 76% 77%

10K Reports 41 43 46% 47%

Annual Reports 25 25 28% 27%

Investor / Analyst Presentations 2 2 2% 2%

Secondary 5 6 6% 7%

A.M. Best Reports 5 6 6% 7%

Not Disclosed 16 15 18% 16%

Totals 89 91 100% 100%


Approximately 84% of companies disclosed risk tolerance or related information, of which approximately half of the disclosures were through PML figures (Net):

Disclosures varied by sector. More than 50% of the disclosures made by Commercial Lines and Reinsurance companies were through net PML, while reinsurance structure was the most common form of disclosure for Personal and Specialty Lines

Aon’s post-Katrina risk tolerance study indicates that a catastrophe event can range from 3 – 6% of equity for primary companies and 12 – 19% of equity for reinsurers before impacting stock price by more than 10%

– The average 100yr PML risk tolerance disclosure for primary and reinsurance companies is in-line with Aon’s post-Katrina study and falls in line with 2017 Harvey, Irma & Maria (HIM) results

Key Findings of Catastrophe Risk Tolerance Study

Disclosure Type Percentage Disclosed as Target Disclosed as Actual Undetermined /

Not Disclosed Count

PML Figure (Net) 40% 12 24 0 36

As Part of Reinsurance Discussion 32% 0 29 0 29

Other Disclosure Type 12% 1 4 6 11

Undetermined / Not Disclosed 16% 0 0 15 15

Totals 100% 13 57 21 91


Aon hosted a roundtable session at AM Best’s Review & Preview Conference in March 2020 on “Developing Management View of Catastrophe Risk”The session included a discussion of risk management practices and insights on how to use traditional model output with other factors in developing management’s view of potential loss accumulation. Below are audience poll results from that session.

“View of Risk” Poll Results (From A.M. Best’s Review Preview Session)

0% 20% 40% 60%

Broker or other advisor

License multiple models

License a catastrophemodel

Developed in-house model

How does your firm obtain analysis on catastrophe exposure?

0% 20% 40% 60%

Other

Customized

Blend

RMS only

AIR only

What catastrophe model results form “management view” of risk?

0% 20% 40% 60%

More than 5 years ago

3 to 5 years ago

Within the last 2 years

When was the last time your company re-evaluated its model selection & assumptions in determining “management view” of cat risk?

0% 20% 40% 60%

Above 250 year

200 to 250 year

150 to 200 year

100 to 150 year

What probable maximum loss (PML) return period does your company target to protect to when determining catastrophe reinsurance limit?

0% 20% 40% 60%

Recast of historical event

Exposure accumulations

Deterministic events

Other than PML analysis, what analysis is used to determine catastrophe reinsurance limit?

0% 20% 40% 60%

Social inflation

Regulatory intervention

Hazard & vulnerabilityassumptions

Climate change

What “model miss” factors concern you the most about your firm’s catastrophe exposure?


Typical CRO / CFO risk tolerance questions What proportion of one year’s earnings can be lost in a single event without an adverse stock price reaction?

What proportion of GAAP equity?

Post-event share price decline best predicted by reported Katrina losses alone, rather than Katrina, Rita and Wilma losses combined Indicates a greater sensitivity to a single large loss than an aggregation of events

(Re)insurers losing less than 10% of shareholder value had Katrina losses in the following ranges, which are consistent with recent PML public disclosures

HIM observations: Six primary insurers had more than a 10% drop in stock price, all of which had more than a 6% hit to equity from HIM

– 21 publicly traded insurers traded down more than 10% at some point

– For primary insurers with less than 10% drop in shareholder value, there is an average total cat loss to equity of 3%

Five reinsurers had a loss of more than 10% to shareholder value, with an average total cat loss to equity of 10%

– 11 reinsurers traded down more than 10% at some point

– Reinsurers that did not lose more than 10% of shareholder value had an average total cat loss to equity of 6%

* Shown on a net post-tax basis

Event Studies: Katrina and Harvey, Irma & Maria (HIM)

Katrina - Cat Loss as % of * HIM - Cat Loss as % of *

Sector Equity Prospective

Consensus Earnings Equity Prospective

Consensus Earnings

Primary Insurers 3% to 6% 21% to 34% 3% to 6% 24% to 44%

Reinsurers 12% to 19% 107% to 110% 7.5% to 10% 64% to 81%


Post-Tax Net PML as a Percent of Equity: Primary Insurers

Post-Tax Net PML as a Percent of Equity: Reinsurers

Catastrophe Risk Tolerance Disclosure Trend AnalysisSample Composite PML Target Ranges Post-Tax Detail

Note: The composite for 2019 consists of 35 companies across all sectors where definitive (100YR or 250YR) PML targets or actuals were disclosed. There were 36 companies in the 2018 composite, 33 companies in the 2017 composite, and 32 companies in the 2016 composite. Where companies reported an actual instead of a target we assumed the actual was their target. Due to a limited dataset, results should be used for informational purposes only. An assumed effective 21% tax rate for insurers and 15% for reinsurers was used by Aon as needed for level setting since some firms disclosed pre-tax and others post-tax.

*The PMLs analyzed include those specified as all peril and all regions as well as specific peril by specific region

1 in 100yr 1 in 250yr

Count Median Max Count Median Max

2019 12 6% 18% 16 9% 36%

2018 13 7% 22% 16 10% 32%

2017 15 7% 19% 17 11% 23%

1 in 100yr 1 in 250yr

Count Median Max Count Median Max

2019 5 8% 16% 8 11% 23%

2018 5 8% 15% 8 12% 21%

2017 6 8% 15% 9 12% 21%


PML disclosures varied by sector. The majority of Specialty Lines, Commercial lines and Reinsurance companies disclosed 250-yr net PML figures, whereas Personal lines disclosed mostly 100yr net PML figures

Companies Disclosing 100yr, 200yr and 250yr net PML

Note: Assumed pre-tax PMLs for companies that do not disclose tax information

1.4%2.0% 2.0%

5.5%6.2%

3.0%3.5%

12.4%

3.6%

5.0%6.0%

8.5%8.9%

11.9% 11.9%

0%

2%

4%

6%

8%

10%

12%

14%

CINF SIGI AIG CB TRV SIGI DLG LN TLX CINF SIGI AIG TRV CB FFH HIG

1:100 Post-Tax PML/SHE 1:200 Post-Tax PML/SHE 1:250 Post-Tax PML/SHE

Commercial

6.1% 6.4% 6.8%

17.8%

0.7%

5.0%

36.4%

0%

5%

10%

15%

20%

25%

30%

35%

40%

ALL FNHC HCI SAFT AV/ LN KINS IAG AU

1:100 Post-Tax PML/SHE 1:200 Post-TaxPML/SHE

1:250 Post-Tax PML/SHE

Personal

4.8%6.7%

8.1% 8.6%

15.7%

8.9%

15.9%17.4% 17.5%

8.2% 8.5% 9.1%9.9%

11.9%

17.0%

19.5%

22.9%

0%

5%

10%

15%

20%

25%

AXS R

E Y

HN

RI:G

R

SG

SC

R.P

A

HN

RI:G

R

SR

EN

MU

V2:G

Y

RE

WTR

E Y

PR

E

HN

RI:G

R

AXS

GLR

E

SG

1:100 Post-Tax PML/SHE 1:200 Post-Tax PML/SHE 1:250 Post-Tax PML/SHE

Reinsurance

0.7% 0.8%

8.1%

14.8%

0.7%1.6% 1.8%

11.9%

18.0%19.8% 20.2%

0%

5%

10%

15%

20%

25%

PROS AFG LRE LN HSX LN PROS AFG PLMR RLI LRE LN ACGL BEZ LN

1:100 Post-Tax PML/SHE 1:200 Post-Tax

PML/SHE

1:250 Post-Tax PML/SHE

Specialty

11

Section 2: Analysis of Disclosure Data


Disclosures varied by sector, with Commercial Lines and Reinsurance companies using net PML most often, while reinsurance structure was the most common form of disclosure for Personal Lines and Specialty Lines

Catastrophe Risk Tolerance Disclosure Distribution by Sector

50%

17%

28%

6%

Commercial Lines Sector

Net PML

Reinsurance Structure

Other

None

25%

57%

11%

7%

Personal Lines Sector

Net PML


Other

None

31%

34%

3%

31%

Specialty Lines Sector

Net PML


Other

None 69%

13%

19%

Reinsurance Sector

Net PML


Other

None


Risk Metrics Disclosures

Commercial, Specialty and Reinsurance lines carriers are more inclined towards Actual PML

All company composites predominantly report on an Occurrence basis

Actual PMLs are more concentrated towards Specific Peril Regional disclosures while Target PMLs are featured in more All Peril All Regions disclosures

Note: Includes companies reporting reinsurance structure

7

36

8

2

4

3

3

0

2

4

6

8

10

12

Commercial Personal Specialty Reinsurance

# C

ompa

nies

Actual vs. Target PML

Actual Target

26

2 4

7

1215

6

3

5

2

0

5

10

15

20

25

Commercial Personal Specialty Reinsurance

# C

ompa

nies

Aggregate vs. Occurrence

Aggregate Occurrence Both

2 3

15

4

5

6

1

0

5

10

15

20

25

All PerilsRegional

All PerilsAll Regions

Specific PerilRegional

Specific PerilAll Regions

# C

ompa

nies

All Peril vs. Regional PML

Actual Target

14

Section 3: Risk Tolerance Disclosures


P&C Commercial Lines Sector

Catastrophe Risk TolerancePublic Disclosure

Metric Disclosures

Company 100yr 200yr 250yr Other RPs (List)Risk Quantification

Metric Pre- or Post-Tax Actual/ TargetAggregate/ Occurrence

Allianz Group Other

American International Group, Inc. Net PML Pre-Tax Actual Aggregate

Chubb Limited 10yr Net PML Pre-Tax Actual Both

Cincinnati Financial Corporation 50yr, 500yr Net PML Post-Tax Actual Occurrence

CNA Financial Corporation Reinsurance Structure Actual Occurrence

Direct Line Insurance Group Plc Net PML Pre-Tax Actual Occurrence

Fairfax Financial Holdings Limited Net PML Pre-Tax Target Aggregate

Liberty Mutual Holding Company Inc. Reinsurance Structure Actual Both

MS&AD Insurance Group Holdings, Inc. Other Actual

Old Republic International Corporation None

Selective Insurance Group, Inc. 25yr, 50yr, 150yr,

500yr Net PML Post-Tax Actual Occurrence

Sompo Japan Nipponkoa Holdings, Inc. Other Actual

Talanx AG Net PML Pre-Tax Actual Occurrence

The Hartford Financial Services Group, Inc. Net PML Pre-Tax Target Occurrence

Tokio Marine Holdings, Inc. Other Actual

Travelers Companies, Inc. 50yr, 1000yr Net PML Post-Tax Actual Occurrence

Zurich Insurance Group Ltd. Reinsurance Structure Actual Both


P&C Personal Lines Sector (1 of 2)


Metric Disclosures

Company 100yr 200yr 250yr Other RPs (List)Risk Quantification

Metric Pre- or Post-Tax Actual/TargetAggregate/ Occurrence

The Allstate Corporation Net PML Pre-Tax Target Aggregate

Assicurazioni Generali SpA Other

Aviva Plc Net PML Pre-Tax Target Both

AXA SA None

Donegal Group Inc. Reinsurance Structure Actual Aggregate

Echelon Financial Holdings Inc. Reinsurance Structure Actual Occurrence

Erie Indemnity Company Reinsurance Structure Actual Aggregate

Federated National Holding Company Net PML Pre-Tax Actual Occurrence

Hanover Insurance Group, Inc. Reinsurance Structure Actual Both

HCI Group Inc. 50yr, 282yr, 323yr Net PML Pre-Tax Actual Occurrence

Heritage Insurance Holdings, Inc. Reinsurance Structure Actual Both

Hilltop Holdings Inc. Reinsurance Structure Actual Both

Horace Mann Educators Corporation Reinsurance Structure Actual Occurrence

Insurance Australia Group Limited 1000yr Net PML Pre-Tax Target Aggregate


P&C Personal Lines Sector (2 of 2)


Metric Disclosures

Company 100yr 200yr 250yr Other RPs (List) Risk Quantification Metric Pre- or Post-Tax Actual/ TargetAggregate/ Occurrence

Intact Financial Corporation 500yr Other Actual Aggregate

Kemper Corporation Reinsurance Structure Actual Both

Kingstone Insurance Company Net PML Pre-Tax Target Occurrence

MAPFRE SA None

Mercury General Corporation Reinsurance Structure Actual Occurrence

National General Holdings Corporation Reinsurance Structure Actual

NI Holdings, Inc Reinsurance Structure Actual Occurrence

Progressive Corporation Reinsurance Structure Actual Occurrence

Royal & Sun Alliance Insurance Plc Other

Safety Insurance Group, Inc. Net PML Post-Tax Actual Occurrence

State Auto Financial Corporation Reinsurance Structure Actual Occurrence

United Insurance Holdings Corp. Reinsurance Structure Both Aggregate

Universal Insurance Holdings, Inc. Reinsurance Structure Actual Occurrence

Vienna Insurance Group AG Reinsurance Structure Actual Occurrence


P&C Specialty Lines Sector (1 of 2)


Metric Disclosures


American Financial Group, Inc. 500yr Net PML Pre-Tax Actual Occurrence

Amerisafe, Inc. Reinsurance Structure Actual

ARCH Capital Group, Ltd. Net PML Pre-Tax Target Occurrence

Argo Group International Holdings, Ltd. None

Assurant, Inc. Reinsurance Structure Actual Occurrence

Baldwin & Lyons, Inc. None

Beazley Plc Net PML Pre-Tax Actual Occurrence

CV Starr None

Employers Holdings, Inc. Reinsurance Structure Actual Occurrence

First Acceptance Corporation None

Global Indemnity Plc Reinsurance Structure Actual Occurrence

Hallmark Financial Services, Inc. None

Hiscox Limited Net PML Pre-Tax Target Occurrence

James River Group Holdings, Ltd. 1000yr Net PML Pre-Tax Target


P&C Specialty Lines Sector (2 of 2)


Metric Disclosures


Kingsway Financial Services Inc. None

Lancashire Holdings Limited Net PML Pre-Tax Actual Occurrence

Markel Corporation None

Navigators Group, Inc. Other

Palomar Holdings, Inc. Net PML Pre-Tax Actual Occurrence

ProSight Global, Inc. Net PML Pre-Tax Actual Aggregate

RLI Corp. Net PML Pre-Tax Actual Occurrence

Sampo Plc Reinsurance Structure Actual Occurrence

State National Companies Inc. None

Suncorp Group Limited Reinsurance Structure Actual Occurrence

Topdanmark A/S Reinsurance Structure Actual Occurrence

Unico American Corporation Reinsurance Structure Actual Aggregate

United Fire Group, Inc. Reinsurance Structure Actual Occurrence

W. R. Berkley Corporation Reinsurance Structure Actual Occurrence

White Mountains Insurance Group, Ltd. None


P&C Reinsurance Sector


Metric Disclosures


Alleghany Corporation Net PML Post-Tax Actual Occurrence

AXIS Capital Holdings Limited 50yr Net PML Pre-Tax Actual Both

Berkshire Hathaway Inc. Other Pre-Tax Target Aggregate

China Reinsurance (Group) Corporation Other

Everest Re Group, Ltd. 20yr, 50yr,

500yr, 1000yr Net PML Pre-Tax Target Occurrence

Greenlight Capital Re, Ltd. Net PML Pre-Tax Actual Aggregate

Hannover Rück SE Net PML Pre-Tax Target Aggregate

Maiden Holdings, Ltd. None

Münchener Rückversicherungs-Gesellschaft AG Net PML Pre-Tax Actual Occurrence

Partner Re 500yr Net PML Pre-Tax Actual Occurrence

RenaissanceRe Holdings Ltd. None

SCOR SE Net PML Pre-Tax Target Occurrence

Sirius International Insurance Group, Ltd. Net PML Post-Tax Actual Aggregate

Swiss Re Limited Net PML Pre-Tax Actual Occurrence

Third Point Reinsurance Ltd. None

Watford Holdings Ltd. Net PML Pre-Tax Actual Both

21

Section 4: Risk Tolerance Summary




CompanyDisclosed Risk Tolerance

Actual/ Target 1:100 1:200 1:250 Summary Source DateAllianz Group N/A - - - In 2019, Allianz SE’s natural catastrophe slightly increased by € 32 mn. The top five

scenarios contributing to the natural catastrophe risk of Allianz SE as of 31 December 2019 were a windstorm in Europe, a tropical cyclone in Japan, a tropical cyclone in Australia, an earthquake in Italy, and an earthquake in Australia. The non-catastrophe and terror premium risk of Allianz SE slightly decreased by € 19 mn in 2019.

Allianz Group 2019 Annual Report, Risk Management Section, Page29

12/31/2019

American International Group, Inc.

Actual 2.6% - 7.6% For 100-year return period scenario, Occurrence Exceedance Probability (OEP) losses are $1.74B (net of 2019 reinsurance,pre tax) for US Hurricane and $0.564B for Japanese Wind. For 250-year return period scenario, Occurrence Exceedance Probability (OEP) losses are $5.119B (net of 2019 reinsurance, pretax) for World-wide all peril, $1.411B (net of 2019 reinsurance, pre tax) for US Earthquake and $0.632B for Japanese Earthquake. Total Shreholders equity as of 12/31/2019 is $67.42bn.

American International Group 2019 10-K Filing, Natural Catastrophe Risk section, Page 161

12/31/2019

Chubb Limited Actual 6.9% - 11.3% Their modeled annual aggregate pre-tax probable maximum loss (PML), net of reinsurance, for 100-year return period for U.S. hurricane and California earthquake at December 31, 2019 is 4.9% and 2.4% of the total shareholders' equity, respectively and for 250-year return period for U.S. hurricane and California earthquake, PML is 8.5% and 2.7% of the total shareholders' equity, respectively.

Chubb limited 2019 10-K Filing, Catastrophe Management Section, Page 84

12/31/2019

Cincinnati Financial Corporation

Actual 1.4% - 3.6% We use the Risk Management Solutions (RMS) and Applied Insurance Research (AIR) models to evaluate exposures to a once-in-a-100-year and a once-in-a-250-year event to help determine appropriate reinsurance coverage programs. In conjunction with these activities, we also continue to evaluate information provided by our reinsurance broker. (Net PML for 1:50 Year, 1:100 Year, 1:250 Year and 1:500 based upon RMS is 1.3%,1.4%, 3.6% and 6.6% of total equity and based upon AIR is 1.3%, 1.4%, 2.7% and 5.3% of total equity). Shareholders Equity as of 12/31/2019: $9.86 bn). Net losses are net of reinsurance and income tax.

Cincinnati Financial Corp 2019 10-K Filing, Reinsurance Programs section, Page 123

12/31/2019

CNA Financial Corporation Actual - - - We purchased corporate catastrophe excess-of-loss treaty reinsurance covering our U.S. states and territories and Canadian property exposures underwritten in our North American and European companies. Exposures underwritten through Hardy are excluded. The treaty has a term of January 1, 2019 to May 1, 2020. The 2019 treaty provides coverage for the accumulation of losses from catastrophe occurrences above our per occurrence retention of $250 million up to $1.0 billion. Losses stemming from terrorism events are covered unless they are due to a nuclear, biological or chemical attack. All layers of the treaty provide for one full reinstatement. (Shareholders Equity as of 12/31/2019 is $12.2bn)

CNA Financial Corporation , 2019 10 K Filing, Catastrophe and Reinsurance Section, Page 32

12/31/2019

Direct Line Insurance Group Plc

Actual - 4.4% - Catastrophe reinsurance to protect against an accumulation of claims arising from a natural perils event. The retained deductible is 15.6% of gross earned premium (£132.5 million at 31 December 2019) and cover is placed annually on 1 July up to a modelled 1-in-200 year loss event of 133.6% of gross earned premium (£1,132.5 million at 31 December 2019).(Shareholders Equity as of 12/31/2019 is £2,990.1 million)

Direct Line Insurance Group Plc 2019 Annual report , Reinsurance section, Page 40

12/31/2019

Information in red is disclosed on a post-tax basis




Company

Disclosed Risk Tolerance

Actual/ Target 1:100 1:200 1:250 Summary Source Date

Fairfax Financial Holdings Limited Target - - 15.0% The company’s objective is to limit its company-wide catastrophe loss exposure such that one year’s aggregate pre-tax net catastrophe losses would not exceed one year’s normalized net earnings before income taxes. The company takes a long term view and generally considers a 15% return on common shareholders’ equity, adjusted to a pre-tax basis, to be representative of one year’s normalized net earnings. The modeled probability of aggregate catastrophe losses in any one year exceeding this amount is generally more than once in every 250 years.

Fairfax Financial 2019 Annual Report, Catastrophe Risk section, Page 108

12/31/2019

Liberty Mutual Holding Company Inc.

Actual - - - The Company has reinsurance coverage for its domestic business and certain specialty operations including: 1) hurricanes and earthquake reinsurance covering a substantial portion of $3.1 billion of loss in excess of $500 million of retained loss in the United States, Canada and the Caribbean, excluding certain reinsurance exposures; 2) aggregate 50 excess of loss programs; 3) quota share reinsurance programs; and 4) regional or country specific catastrophe reinsurance programs. These programs are structured to meet the Company’s established tolerances under its Enterprise Risk Management Program

Liberty Mutual Holding Company Inc. Q4 - 2019 Management’s Discussion & Analysis - Page: 49

12/31/2019

MS&AD Insurance Group Holdings, Inc.

Actual - - - As of 3/31/2020, MS has catastrophe reserves of JPY 550 (USD 5.1 B ) and AD has catastrophe reserves of JPY 299B (USD 2.8 B). MS has catastrophe risk of JPY 131B (USD 1.2 B) and AD has catastrophe risk of JPY 87B (USD 810.4 M) . As of 03/31/2020, MS&AD's risk amounted to JPY2.4Tn (USD 22.25 B ) calculated as 99.5% VaR. [Stockholders Equity as of 03/31/2020 is JPY2,494.04 bn (USD 23.17 B)]

MS&AD 2019 Supplement Report, page 23,27MS&AD: FY2019 Second Information Meeting, page 68

3/31/20203/31/2020

Old Republic International Corporation

N/A - - - No risk tolerance metrics indicated N/A N/A

QBE Insurance Group Limited N/A - - - In 2019, we reset the Group’s reinsurance program which warranted a higher allowance for large individual risk and catastrophe claims.

QBE Insurance Group 2019 Annual Report, General Overview Section, Page 16

12/31/2019

Selective Insurance Group, Inc. Actual 2.0% 3.0% 5.0% Our current catastrophe reinsurance program exhausts at approximately 1 in 217 year return period, or events with 0.5% probability, based on a multi-model view of hurricane risk. 2.0% of equity after tax for 1:100 year event (OEP: 1%); 3% of equity after tax for 1:200 year event (OPE: 0.5%); 5% of equity after-tax for 1:250 year event (OEP: 0.4%) Shareholders Equity as of 12/31/2019: $2.19 bn

Selective Insurance Group 2019 10-K Filing, page 53

12/31/2019

Sompo Japan Nipponkoa Holdings, Inc.

Actual - - - As of 3/31/2020, SOMPO Holdings has catastrophe reserves of JPY 463.6 B (USD 4.29 B ) and major catastrophe risk of JPY 149.95B (USD 1.39B)As of 3/31/2020, SOMPO Holdings's risk amounted to JPY 1.2 Tn (USD11.12B ) calculated as 99.5% VaR. [Stockholders Equity as of 03/31/2020 is JPY1,612.6 bn (USD14.99 B )]

Summary of Consolidated Financial Results for the fiscal year ended March 31, 2020 page 12, Highlights of FY2019 Results_Sompo Holdings, Inc. - page 44

3/31/2020





Company



Talanx AG Actual - 15.7% - The estimates for the 200-year net loss burdens for the Group are as follows: Atlantic HU - EUR 2,605M; US EQ - EUR 2,350M; EU WS - EUR 1,151M; Asia Pacific EQ (Japan also included) - EUR 1,692M; Central and South-American EQ -EUR 1,600; EU EQ- EUR 1,226M; EU flood- EUR 811.(Total Shareholders Equity as of 12/31/2019 is EUR 16,610M).

Talanx Group 2019 Annual Report, Reserving Risk -Concentration risk Section, Page 113

12/31/2019

The Hartford Financial Services Group, Inc.

Target - - 15.0% The estimated pre-tax loss for a 1 in 250 single event net of reinsurance is less than 15% of statutory surplus of the P&C operations. The estimated 250 year pre-tax probable maximum loss from earthquake events is estimated to be $1.1 Billion before reinsurance and $408 net of reinsurance. The estimated 250 year pre-tax probable maximum losses from hurricane events are estimated to be $1.8 billion before reinsurance and $906 net of reinsurance. (Stockholders Equity as of 12/31/2019 is $16,270 mn)

Hartford 2019 10-K Filing, Natural catastrophe risk section , Page 85

12/31/2019

Tokio Marine Holdings, Inc. Actual - - - As of 3/31/2020, Tokio Marine & Nichido Fire has catastrophe reserve of JPY 913.5Bn (USD8.47B ), Nisshin Fire & Marine Insurance has major catastrophe reserve of JPY 58Bn (USD550M) and Tokio Marine & Nichido Fire has catastrophe risk of JPY 151.0 Bn (USD1.42B), Nisshin Fire & Marine Insurance has major catastrophe risk of JPY 7.6Bn (USD70.45 M)As of 03/31/2020, Tokio Marine Group's risk amounted to JPY 2.7 Tn (USD25B) calculated as 99.95% VaR. [Stockholders Equity as of 03/31/2020 is JPY 3426.7 bn (USD 31.84 B)]

Tokio Marine Information about major subsidiaries 2020, page 11,17Tokio Marine Group FY2019 Results and FY2020 Profits, page 29

3/31/2020

Travelers Companies, Inc. Actual 6.2% - 8.5% Net, after-tax single U.S. hurricane 1:100 is6.2% and 1:250 is 8.5% while Net, after tax single U.S. and Canadian EQ 1:100 is 2.7% and 1:250 is 4.6% (Total Shareholders Equity as at 12/31/2019: $25.9 bn)

Travelers 2019 10-K Filing, Catastrophe Modeling Section, Page 87

12/31/2019

Zurich Insurance Group Ltd. Actual - - - All natural catastrophe losses in excess of the franchise deductible of USD 25 million. The Group uses traditional and collateralized reinsurance markets and other alternatives to protect itself against extreme single events, multiple event occurrences across regions, or increased frequency of events. Specifically, to protect the Group against man-made and natural catastrophe scenarios. The Group participates in the underlying risks through its retention and through its co-participation in excess layers. The contracts are on a loss-occurrence basis except the Global Aggregate Catastrophe cover, which operates on an annual aggregate basis. The current catastrophe covers are placed annually with the exception of the USD 1 billion Global Catastrophe treaty, which is a three-year treaty expiring in 2021. In addition to these covers, the Group has some local catastrophe covers, a bilateral risk swap, and various line of business-specific risk treaties in place. These covers are reviewed continuously and are subject to change going forward.

Zurich Financial Services 2019 Annual Report, Risk Review Section, Page 144

12/31/2019



P&C Personal Lines Sector


Company



The Allstate Corporation Target 7.7% - - Our current catastrophe reinsurance program supports our risk tolerance framework that targets less than a 1% likelihood of annual aggregate catastrophe losses from hurricanes and earthquakes, net of reinsurance, exceeding $2 billion. The use of different assumptions and updates to industry models and to our risk transfer program could materially change the projected loss. Growth strategies include areas where we believe diversification can be enhanced and an appropriate return can be earned for the risk. As a result, our modeled exposure may increase, but in aggregate remain lower than $2 billion as noted above. In addition, we have exposure to other severe weather events and wildfires, which impact catastrophe losses. Shareholders Equity as of 12/31/2019 $25.99bn

Allstate Corp 2019 10-K Filing, Allstate Protection pricing and risk management strategies, Page 12

12/31/2019

Assicurazioni Generali SpA N/A - - - In order to assess its catastrophe exposure and cover needs, Generali uses an internal model together with third-party independent models, such as RMS, CoreLogic and AIR. The largest catastrophe exposure of the group is an earthquake in Italy; the other major cat exposures include a European windstorm, a European flood, and a flood in Italy.

Assicurazioni Generali S.P.A. AM Best Report A.M. Best # 085124

12/18/2019

Aviva Plc Target - 0.9% - The Group purchases a Group-wide catastrophe reinsurance programme to protect against catastrophe losses exceeding a 1 in 200 year return period. The total Group potential retained loss from its most concentrated catastrophe exposure peril (Northern Europe Windstorm) is approximately £150 million on a per occurrence basis and £175 million on an annual aggregate basis. Any losses above these levels are covered by the group-wide catastrophe reinsurance programme to a level in excess of a 1 in 200 year return period. (Shareholders Equity as of 12/31/2019 is £18,685 million)

Aviva PLC 2019 Annual Report, Risk Management Section, Page 14

12/31/2019

AXA SA N/A - - - No risk tolerance metrics indicated N/A N/A

Donegal Group Inc. Actual - - - catastrophe reinsurance, under which Donegal Mutual and our insurance subsidiaries recovered, through a series of reinsurance agreements, 100% of an accumulation of many losses resulting from a single event, including natural disasters, over a set retention of $10.0 million and after exceeding an annual aggregate deductible of $1.2 million up to aggregate losses of $190.0 million per occurrence.

Donegal Insurance Group 2019 10-K Filing, Reinsurance - Unaffiliated Reinsurer Section, Page 84

12/31/2019

Echelon Financial Holdings Inc.

Actual - - - During 2019, the Company followed the policy of underwriting and reinsuring contracts of insurance, which limits the net exposure of the Company to a maximum amount on any one loss to $1,000 (2018 – $500) for auto and liability and $500 (2018-$500) for property. In addition, the Company obtained catastrophe reinsurance which limits the loss from a series of claims arising from a single occurrence to $1,000 (2018 – $500), to a maximum coverage of $29,000 (2018 – $99,500).

2019 Consolidated Financial Statements, Echelon Financial Holgings, Underwriting Policy & Reinsurance Ceded section, Page 30

12/31/2019





Company



Erie Indemnity Company Actual - - - For casualty risks, the maximum net retention per risk is $12.0 million, which includes underlying and umbrella policies. Facultative reinsurance is purchased for any umbrella policy with limits in excess of $12.0 million. For property risks, the maximum net retentionper risk is $25.0 million. Facultative reinsurance is purchased for any property exposure greater than $25.0 million per risk. Property catastrophe reinsurance provides total coverage in four layers of $510 million excess of $400 million retention. The first layer provides coverage of 35% of $100 million excess of $400 million retention; the second layer provides coverage of 100% of $300 million excess of $500 million; the third layer provides coverage of 50% of $300 million excess of $800 million and the fourth layer provides coverage of 100% of $25 million excess $1.1 billion.

A.M. Best Credit Report Page 9

6/25/2019

Federated National Holding Company

Actual 8.0% - - 2018-2019 Excess of Loss Reinsurance Programs, with the February 21, 2018 acquisition of the minority interests of MNIC, the Company combined both FNIC and MNIC under a single program allowing the Company to capitalize on efficiencies and scale. FNIC and MNIC’s combined 2018-2019 reinsurance program cost $148.8 million. This amount included $102.7 million for the private reinsurance for the Company’s exposure, including prepaid automatic premium reinstatement protection, along with $46.1 million payable to the FHCF. The combination of private and FHCF reinsurance treaties affords FNIC and MNIC $1.8 billion of aggregate coverage with a maximum single event coverage totaling $1.3 billion, exclusive of retentions. Both FNIC and MNIC maintained their FHCF participation at 75% for the 2018 hurricane season. FNIC’s 1-in-100 year single event pre-tax retention for a catastrophic event in Florida is $20.0 million.The combined reinsurance treaties provide approximately $1.3 billion of single-event reinsurance coverage in excess of a $27 million retention for catastrophic losses on the first event (and $15 million on the second and third events), including hurricanes, and aggregate coverage of $1.9 billion, at an approximate total cost of $224.1 million, of which FNIC's and MNIC's share of the cost is estimated to total $179.3 million. (Stockholders Equity as of 12/31/2019 is $248.693 mn)

Federated National Holdings Company 2019 10-K Filing, Reinsurance Programs Section, Page 74,75, FedNat Holding Company - 4Q19-Investor-Deck - Page 9

12/31/2019

Hanover Insurance Group, Inc. Actual - - - The property catastrophe occurrence program provides coverage, on an occurrence basis, up to $1.175 billion countrywide, less a $200 million retention, with no co-participation, for all defined perils. Additionally, there is an aggregate feature, effective July 1, 2019 through June 30, 2020, which provides for up to $75 million of coverage in excess of $300 million in aggregate catastrophe losses. The catastrophe losses subject to the aggregate feature are limited only to those events that exceed $7.5 million of incurred losses per event.

Hanover Insurance Group 2019 10-K Filing, page 12

12/31/2019

HCI Group Inc. Actual 8.6% - - 2019-2020 Reinsurance Program provides 1st event cover for RMS v18 Long-Term Hurricane, with Loss Amplification, excluding Storm Surge, without Secondary Uncertainty with $16M Retention, exhaustion of $959M and limit of $943M ($959-$16M). They also have limits for different events of 1 in 323 year event ($959M), 1 in 282 year event ($901M), 1 in 100 year event ($459M), 1 in 50 year event ($268M). They provide 2nd event cover for Florida Hurricane Catastrophe Fund (FHCF). (Stockholders Equity as of 12/31/2019 is $185.5 mn)

HCI Group Inc. Investor Presentation March 2020, 2019-2020 Reinsurance Program Section, Page 14

3/5/2020





Company

Disclosed Risk ToleranceActual/ Target 1:100 1:200 1:250 Summary Source Date

Heritage Insurance Holdings, Inc.

Actual - - - Effective June 1, 2019, we entered into catastrophe excess of loss reinsurance agreements covering Heritage Property & Casualty Insurance Company (“Heritage P&C”), Zephyr Insurance Company (“Zephyr”) and Narragansett Bay Insurance Company (“NBIC”). The catastrophe reinsurance programs are allocated amongst traditional reinsurers, catastrophe bonds issued by Citrus Re Ltd., a Bermuda special purpose insurer formed in 2014 (“Citrus Re”), the Florida Hurricane Catastrophe Fund (“FHCF”) and Osprey Re Ltd, our captive reinsurer.The 2019-2020 reinsurance program provides first event coverage up to $1.5 billion for Heritage P&C, first event coverage up to $708.0 million for Zephyr, and first event coverage up to $936.0 million for NBIC. Our first event retention for each insurance company subsidiary follows: Heritage P&C - $20.0 million; Zephyr - $20.0 million; NBIC – $13.8 million. The Company's estimated net cost for the 2019-2020 catastrophe reinsurance programs is approximately $249.2 million.

Heritage Insurance Holdings Inc. 2019 10-K Filing, Products and distribution Section, Page 15, 110

12/31/2019

Hilltop Holdings Inc. Actual - - - Effective July 1, 2019, NLC renewed its catastrophic excess of loss reinsurance coverage for a one year-period. At December 31, 2019, NLC had catastrophic excess of loss reinsurance coverage of losses per event in excess of $8 million retention by NLIC and $2 million retention by ASIC. ASIC maintained an underlying layer of coverage, providing $6 million of reinsurance coverage in excess of its $2 million retention to bridge to the primary program. The reinsurance for NLIC and ASIC in excess of $8 million is comprised of three layers of protection: $12 million in excess of $8 million retention and/or loss; $25 million in excess of $20 million loss; and $50 million in excess of $45 million loss. NLIC and ASIC retain no participation in any of the layers, beyond the first $8 million and $2 million, respectively. At December 31, 2019, total retention for any one catastrophe that affects both NLIC and ASIC was limited to $8 million in the aggregate.NLC did not renew its underlying excess of loss contract that provides $10.0 million aggregate coverage in excess of NLC’s per event retention of $ 1.0 million and aggregate retention of $15.0 million for sub-catastrophic events through December 31, 2019. During 2019, NLC retained 37.5% participation in this coverage.

Hilltop Holdings Inc. 2019 10-K Filing, Page No 359

12/31/2019

Horace Mann Educators Corporation

Actual - - - The Company maintains catastrophe excess of loss reinsurance coverage. For 2019, the Company's catastrophe excess of loss coverage consisted of one contract in addition to a minimal amount of coverage by the Florida Hurricane Catastrophe Fund. The catastrophe excess of loss contract provided 95% coverage for catastrophe losses above a $25.0 million retention per occurrence up to $175.0 million per occurrence. This contract consisted of three layers, each of which provided for one mandatory reinstatement. The layers were $25.0 million excess of $25.0 million, $40.0 million excess of $50.0 million and $85.0 million excess of $90.0 million. The Company's 2020 catastrophe excess of loss coverage is unchanged from 2019.

Horace Mann 2019 10-K Filing, Property & Casualty Reinsurance Section, page 8

12/31/2019





Company


Insurance Australia Group Limited

Target - - 46.1% The ReMS outlines IAG's reinsurance principles, including the requirement that reinsurance retention for catastrophe must not exceed 4% of gross earned premium. IAG purchases catastrophe reinsurance protection to at least the greater of: a 1-in-250 year return period for earthquake loss calculated on a whole-of-portfolio basis for Australia; and a 1-in-1000 year return period for earthquake loss calculated on a whole-of-portfolio basis for New Zealand. This is a more conservative view than APRA’s prescribed minimum approach of 1-in-200 year return period loss calculated on a whole-of-portfolio, all perils basis.A group catastrophe cover which is placed in line with the strategy of buying to the level of at least a 1-in-250 year earthquake event on a whole-of-portfolio basis. IAG's catastrophe reinsurance protection runs to a calendar year and operates on an excess of loss basis, with IAG retaining the first $250 million ($169 million post-quota share) of each loss. It covers all territories in which IAG operates. The limit of catastrophe cover purchased effective 1 January 2019 was $9 billion placed to 67.5%. In a very extreme loss event scenario, IAG could potentially incur a net loss greater than the retention. IAG holds capital to mitigate the impact of this possibility; (Shareholders Equity as of 6/30/2019 is AUD 6,710million)

Insurance Australia Group 2019 Annual Report, Reinsurance risk section, Page 69

6/30/2019

Intact Financial Corporation Actual - - - For multi-risk events and catastrophes, the Company retains participations averaging 5.5% as at December 31, 2019 (5.6% as at December 31, 2018) on reinsurance layers between the retention and coverage limit. The coverage limit prudently exceeds the Company's risk assessment of an earthquake in Western Canada at a 1-in-500-year return period. As at January 1, 2020, the Company increased its coverage to $5,300 million and retains participations averaging 10.2% on reinsurance layers between the retention and coverage limit to increase its already conservative protection.

Intact Financial corp 2019 Annual Report, Reinsurance section, Page 151

12/31/2019

Kemper Corporation Actual - - - Coverage for the property and casualty group's catastrophe reinsurance program is provided by three multi-year excess of loss reinsurance contracts, one annual excess of loss reinsurance contract, and an annual aggregate excess property catastrophe reinsurance contract. In total, the excess of loss insurance contracts cover 95% of $225.0M in excess of $50.0M in various layers.The second multi-year excess of loss reinsurance contract provides coverage over the three-year period of January 1, 2019 through December 31, 2021 (the “2019 Reinsurance Contract”). The 2019 Reinsurance Contract provides coverage in two layers, which together provide coverage for losses on individual catastrophes of $200 million in excess of $50 million, which is consistent with the coverage provided under the 2018 Reinsurance Contract. Under the 2019 Reinsurance Contract, the percentage of coverage is 31.66% for each year in the three-year period, and participation of each reinsurer remains the same over the entire three-year period. Accordingly, the 2019 Reinsurance Contract provides coverage for 31.66% of losses on individual catastrophes of $200 million in excess of $50 million in 2020.

Kemper P&C Group AM Best Report #914, Reinsurance Section -Page 8, 2019 10-K Filing -Page 12

1/23/2020






Actual/ Target 1:100 1:200 1:250 Summary Source DateKingstone Insurance Company Target - - 6.4% The company purchased catastrophe reinsurance to provide coverage of up to

$610,000,000 for losses associated with a single event. One of the most commonly used catastrophe forecasting models prepared for us indicates that the catastrophe reinsurance treaties provide coverage in excess of our estimated probable maximum loss associated with a single more than one-in-250 year storm event. The direct retention for any single catastrophe event is $7,500,000. Effective December 15, 2019 losses on personal lines policies are subject to the 25% quota share treaty, which results in a net retention by us of $5,625,000 of exposure per catastrophe occurrence. Effective July 1, 2019, we have reinstatement premium protection on the first $292,500,000 layer of catastrophe coverage in excess of $7,500,000. This protects us from having to pay an additional premium to reinstate catastrophe coverage for an event up to this level. (Stockholders Equity as of 12/31/2019 is $88.22mn)

Kingstone Insurances 2019 10-K filing, Reinsurance Section, Page 15

12/31/2019

MAPFRE SA N/A - - - No risk tolerance metrics indicated N/A N/AMercury General Corporation Actual - - - The Company is party to a Catastrophe Reinsurance Treaty ("Treaty") covering a

wide range of perils that is effective through June 30, 2020. For the 12 months ending June 30, 2020, the Treaty provides $600 million of coverage on a per occurrence basis after covered catastrophe losses exceed the $40 million Company retention limit. The Treaty specifically excludes coverage for any Florida business and for California earthquake losses on fixed property policies such as homeowners but does cover losses from fires following an earthquake. In addition, the Treaty excludes losses from wildfires on 89.5% of certain coverage layers of the Treaty.For the 12 months ended June 30, 2019, the Treaty provided $205 million of coverage on a per occurrence basis after covered catastrophe losses exceeded the $10 million Company retention limit. The Treaty specifically excluded coverage for any Florida business and for California earthquake losses on fixed property policies such as homeowners, but did cover losses from fires following an earthquake.

Mercury 2019 10-K Filing, Reinsurance Section Page 18

12/31/2019

National General Holdings Corporation

Actual - - - Effective May 1, 2019, the Company’s reinsurance property catastrophe excess of loss program, protecting the Company against catastrophic events and other large losses, provides a total of $650,000 in coverage with one reinstatement with a $70,000 retention for the first event and $50,000 for the second event. As of July 1, 2018, the casualty program provides $35,000 in coverage in excess of a $5,000 retention. Effective October 1, 2019, the Company renewed the casualty program, for which coverage and retention will remain in effect and unchanged. The Company pays a premium as consideration for ceding the risk. Effective July 1, 2019, the Reciprocal Exchanges renewed their property catastrophe excess of loss program providing a total of $480,000 in coverage with a $20,000 retention, with one reinstatement.

National General Holdings Corp 10K, Page 137 Catastrophe Reinsurance

12/31/2019





Company



NI Holdings, Inc Actual - - - Per risk excess of loss treaties provide coverage of $4.5 million excess $500,000 for property risks and $11.4 million excess $600,000 for casualty. Nodak also maintains facultative reinsurance covering $20 million excess $5 million per property. The group maintains property catastrophe reinsurance protection covering $78.6 million excess $10 million per occurrence. Crop hail losses are reinsured through a stop loss agreement providing 50 points of cover in excess of a 100% pure loss ratio up to a maximum limit of $6.56 million. Multi peril crop reinsurance is provided through the Standard Reinsurance Agreement with the Federal Crop Insurance Corporation (FCIC) with the group retaining approximately 90% of the business. Multi-peril crop exposure retained net of the FCIC cession is protected with a stop loss agreement providing 45 points of cover in excess of a 105% pure net loss ratio up to a maximum limit of $17.75.

A.M. Best Credit Report Pg 8, Zurich Financial Services 2019 Annual Report, Reinsurance Section, Page 92

3/26/2019 ;12/31/2019

Progressive Corporation Actual - - - We have several multiple-layer property catastrophe reinsurance contracts with various reinsurers with terms ranging from one to three years; the minimum commitment under these agreements at December 31, 2019, was $96.1 million.

Progressive Corporation, 2019 10 K, Commitments and Contingencies section, page 111

12/31/2019

Royal & Sun Alliance Insurance Plc N/A - - - Our catastrophe reinsurance covers flood, windstorms, hurricanes, wildfires and other severe weather events, with special provisions providing additional protection for prolonged or greater frequency events.Our reinsurance programme significantly reduces our exposure to catastrophe risks, with historical losses being well covered by our programme. The programme is designed to cover at least 1-in-200-year events and is stress-tested for climate change scenarios.

RSA Group 2019,Key risks and mitigantssection, page 43,49

12/31/2019

Safety Insurance Group, Inc. Actual 17.8% - - A comprehensive catastrophe reinsurance program reduces the net after-tax probable maximum loss (PML) expected to arise from a 100-year All Perils event to 17.8% of year-end 2019 reported policyholders' surplus.For 2020, the group has purchased four layers of excess catastrophe reinsurance providing $615 million of coverage for property losses in excess of $50 million up to a maximum of $665 million. The reinsurers’ co-participation is 50.0% of $50 million for the 1st layer,80.0% of $50 million for the 2nd layer, 80.0% of $250 million for the 3rd layer and 80% of $265 million for the 4th layer. As a result of the changes to the models, catastrophe reinsurance in 2020 protects the company in the event of a 137-year storm.

Safety Group AM Best Report #18080 Reinsurance Summary -page 8 , ; Safety Insurance Group 2019 10-K Filing, Reinsurance Section, Page 29

12/31/2019 (10 k); 5/5/2020 (AMB)





Company



State Auto Financial Corporation Actual - - - Property Catastrophe Treaty: Under this reinsurance agreement, we retain the first $75.0 million of catastrophe loss, each occurrence, with a 5.0% co-participation on the next $125.0 million of covered loss, each occurrence. The reinsurers are responsible for 95.0% of the catastrophe losses excess of $75.0 million up to $200.0 million, each occurrence. The State Auto Group is responsible for catastrophe losses above $200.0million. There is also an automatic restatement of the limit, for 125% of the deposit premium.Property Per Risk Treaty: As of July 1, 2019, the State Auto Group renewed the property per risk excess of loss reinsurance agreement. This reinsurance agreement provides individual property risk coverage for the State Auto Group for losses exceeding $4.0 million. The reinsurers are responsible for 100.0% of the loss excess of the $4.0 million retention for property business up to $20.0 million of covered loss.

State Auto Financial Corp. 2019 10-K Filing, Reinsurance Arrangements Section, page 54

12/31/2019

United Insurance Holdings Corp. Both - - - Our program includes excess of loss, aggregate excess of loss and quota share treaties. Our excess of loss contract, in effect from June 1, 2019 through May 31, 2020, provides coverage for catastrophe losses from named or numbered windstorms and earthquakes up to an exhaustion point of approximately $3,200,000,000. In addition to this contract, we have an aggregate excess of loss contract, effective January 1, 2019, which provides coverage for all catastrophe perils other than hurricanes, tropical storms, tropical depressions and earthquakes. We ceded $26,488,000 of catastrophe losses under this treaty for the year ended December 31, 2019.

United Insurance Holdings Corp 2019 10-K Filing, Reinsurance section, Page 88

12/31/2019

Universal Insurance Holdings, Inc. Actual - - - Our 2019-2020 reinsurance program meets and provides reinsurance in excess of the FLOIR’s requirements, which are based on, among other things, the probable maximum loss that we would incur from an individual catastrophic event estimated to occur once in every 100 years based on our portfolio of insured risks and a series of stress test catastrophe loss scenarios based on past historical events.UPCIC retains $43 million for First event All States and $10 million for First event Non-Florida retention. All States first event tower expanded to $3.34 billion, an increase of $170 million over the final 2018-2019 program. Assuming a first event completely exhausts the $3.34 billion tower, the second event exhaustion point would be $1.3 billion, an increase of $262 million over the final 2018-2019 program on the same assumptions. (Stockholders Equity as of 12/31/2019 is $493.901 mn)

Universal Insurance Holdings 2019 10-K Filing, UPICC's Reinsurance Program, Page 8,30, weather conditions in Florida ,Page 14

12/31/2019

Vienna Insurance Group AG Actual - - - It is Group-wide policy that no more than EUR 50 million for the first two natural disaster events and EUR 20 million for each additional event can be placed at risk on a PML (probable maximum loss) basis. The maximum Group-wide retention per individual loss is less than EUR 15 million.

VIG 2019 Annual Report, Reinsurance Section, Page 143

12/31/2019



P&C Specialty Lines Sector


Company


American Financial Group, Inc. Actual 1.0% - 2.0% AFG generally seeks to reduce its exposure to catastrophes through individual risk selection, including minimizing coastal and known fault-line exposures, and the purchase of reinsurance. Based on data available at December 31, 2019, AFG’s exposure to a catastrophic earthquake or windstorm that industry models indicate should statistically occur once in every 100, 250 or 500 years as a percentage of AFG’s Shareholders’ Equity are less than 1%, 2% and 6% respectively

American Financial Group 2019 10-K Filing, Catastrophe losses section, page 97

12/31/2019

Amerisafe, Inc. Actual - - - In 2020, our first layer of reinsurance provides coverage for losses up to $10.0 million for each loss occurrence in excess of $2.0 million. Our second layer of reinsurance (catastrophe reinsurance) provides $60.0 million in coverage for each loss occurrence in excess of $10.0 million. This layer includes coverage for terrorism including the use and/or dispersal of nuclear, biological, chemical and radiological agents with an annual aggregate limit of $60.0 million. The aggregate limit for all claims under this layer is $120.0 million. This layer provides coverage through December 31, 2020.

Amerisafe, Inc 2019 10-K, 2019 Excess of Loss Reinsurance Treaty Program Section, Page 26

12/31/2019

ARCH Capital Group, Ltd. Target - - 25.0% Currently, we seek to limit our 1-in-250 year return period net probable maximum loss from a severe catastrophic event in any geographic zone to approximately 25% of total shareholders’ equity available to Arch. We reserve the right to change this threshold at any time. Based on in-force exposure estimated as of January 1, 2020, our modeled peak zone catastrophe exposure is a windstorm affecting the Florida Tri-County, with a net probable maximum pre-tax loss of $612 million, followed by windstorms affecting northeastern U.S. and the Gulf of Mexico with net probable maximum pre-tax losses of $544 million and $521 million, respectively.(Shareholders Equity as of 12/31/2019 is $12,260 mn)

ARCH Capital Group 2019 10-K Filing, Natural Catastrophe Risk section, Page 90

12/31/2019

Argo Group International Holdings, Ltd. N/A - - - No risk tolerance metrics indicated N/A N/A

Assurant, Inc. Actual - - - Our reinsurance program generally incorporates a provision to allow for the reinstatement of coverage, which provides protection against the risk of multiple catastrophes in a single year. For 2019, our property catastrophe reinsurance program includes U.S. per-occurrence catastrophe coverage providing $1.16 billion of protection in excess of $80.0 million of retention in the main reinsurance program, as well as multi-year reinsurance contracts covering approximately 35% of the reinsurance layers. All layers of the program allow for one automatic reinstatement, except the first layer which has two reinstatements and covers the first $40.0 million of losses in excess of the $80.0 million retention, and include a cascading feature that provides multi-event protection in which higher coverage layers drop down to $120.0 million as the lower layers and reinstatement limit are exhausted. The 2019 catastrophe reinsurance program also includes Caribbean catastrophe coverage providing $177.5 million of protection in excess of $17.5 million retention and Latin American catastrophe coverage providing $423.0 million of protection in excess of $4.5 million of retention. Additionally, in 2019, we placed coverage for a third event in the Caribbean, with protection of up to $27.5 million in excess of a $17.5 million retention. We placed approximately 68% of our 2020 catastrophe reinsurance program in January 2020.

Assurant 2019 10K,Page no 14

12/31/2019






Actual/ Target 1:100 1:200 1:250 Summary Source DateBaldwin & Lyons, Inc. N/A - - - No risk tolerance metrics indicated N/A N/A

Beazley Plc Actual - - 25.6%

One of the largest types of event exposure relates to natural catastrophe events such as windstorm or earthquake. The group’s high level catastrophe risk appetite is set by the board and the business plans of each team are determined within these parameters. The board may adjust these limits over time as conditions change. In 2019 the group operated to a catastrophe risk appetite for a probabilistic 1-in-250 years US event of $416.0m (2018: $416.0m) net of reinsurance. This remains unchanged since 2018. (Shareholders Equity as of 12/31/2019 is $1,625.3 million)

Beazley 2019 Annual Report, Risk Management Section, Page 160

12/31/2019

CV Starr N/A - - - No risk tolerance metrics indicated N/A N/A

Employers Holdings, Inc. Actual - - -

Employer's purchase reinsurance to protect us against the costs of severe claims and catastrophic events, including natural perils and acts of terrorism, excluding nuclear, biological, chemical, and radiological events. On July 1, 2019, we entered into a new reinsurance program that is effective through June 30, 2020. The reinsurance program consists of one treaty covering excess of loss and catastrophic loss events in four layers of coverage. Our reinsurance coverage is $190.0 million in excess of our $10.0 million retention on a per occurrence basis, subject to certain exclusions. The Company currently maintains reinsurance for losses from a single occurrence or catastrophic event in excess of $10.0 million and up to $200.0 million, subject to certain exclusions. This current reinsurance program is effective July 1, 2019 through June 30, 2020.

Employers Holdings 2019 10-K Filing, page 31,133

12/31/2019

First Acceptance Corporation N/A - - - No risk tolerance metrics indicated N/A N/A

Global Indemnity Plc Actual - - -

The Company’s current property writings create exposure to catastrophic events. To protect against these exposures, the Company purchases a property catastrophe treaty. Effective June 1, 2019, the Company purchased three layers of occurrence coverage for losses of $275 million in excess of $25 million. The first layer provides coverage of 50% of $25 million in excess of $25 million and can be reinstated twice at no additional charge. The second layer provides coverage of $50 million in excess of $50 million and is unable to be reinstated. The third layer provides coverage of $200 million in excess of $100 million and includes one 100% paid reinstatement. The second layer also includes a cascading feature. Any erosion of the first layer lowers the attachment point of the second layer by the same amount. Should the second layer of limit be exhausted and reinstated, the attachment point would be in excess of $50 million. Effective June 1, 2019, the Company renewed its agreement to cede 50% of its catastrophe losses which are above $3 million. The occurrence limit was reduced to $25 million and the aggregate limit was reduced to $75 million. This replaced the treaty which expired on May 31, 2019, which had an occurrence limit of $50 million and an aggregate limit of $150 million.

Global Indemnity Plc 2019 10-K Filing, Reinsurance of Underwriting Risk, Page 10,11

12/31/2019

Hallmark Financial Services, Inc. N/A - - - No risk tolerance metrics indicated N/A N/A






Actual/ Target 1:100 1:200 1:250 Summary Source DateHiscox Limited Target - 18.7% - The Board requires all underwriters to operate within an overall Group

appetite for individual events. This defines the maximum exposure that the Group is prepared to retain on its own account for any one potential catastrophe event or disaster. The Group’s underwriting risk appetite seeks to ensure that it should not lose more than 12.5% of core capital, defined as NAV plus subordinated debt less expected dividend less buffer capital, plus 100% of buffer capital ($135 million) with an allowance for expected investment income, as a result of a one-in-200 aggregate bad underwriting year.Property catastrophe : 1-in-200 year catastrophe event estimated losses are $410 million from US windstorm,.

Hiscox 2019 Annual Report, Insurance risk section, Page 123, Casualty extreme loss scenarios , Page 30

12/31/2019

James River Group Holdings, Ltd.

Target - - - We have structured our reinsurance arrangements so that our modeled net pre-tax loss from a 1/1000 year probable maximum loss event is no more than $10.0 million on a group-wide basis.Based upon the modeling of our Excess and Surplus Lines and Specialty Admitted segments, it would take an event beyond our 1 in 1000-year PML to exhaust our $45.0 million property catastrophe treaty. In the event of a catastrophe loss exhausting our $45.0 million property catastrophe treaty, we estimate our pre-tax cost at approximately $7.1 million, including reinstatement premiums and net retentions. In addition to this retention, we would retain any losses in excess of our reinsurance coverage limits. (Stockholders Equity as of 12/31/2019 is $778.6 mn).

James River Group 2019 10-K Filing, Business Section, Page 7 & Liquidity and Capital Resources Section, Page 156

12/31/2019

Kingsway Financial Services Inc.

N/A - - - No risk tolerance metrics indicated N/A N/A

Lancashire Holdings Limited Actual 10.3% - 22.8% The Group’s GOM Hurricanes net loss estimates (before income tax and net of reinstatement premiums and outwards reinsurances), as a percentage of capital (including long-term debt), for 100 year return period is ($139.7 mn) 10.3 % and for 250 year return period is ($311.0 mn) 22.8%. The Group’s Non - Gulf of Mexico - US Hurricanes net loss estimates (before income tax and net of reinstatement premiums and outwards reinsurances), as a percentage of capital (including long-term debt), for 100 year return period is ($72.8 mn) 5.3% and for 250 year return period is ($307.8 mn) 22.6%.

Lancashire 2019 Annual Report, Insurance Risk section, page 120

12/31/2019

Markel Corporation N/A - - - No risk tolerance metrics indicated N/A N/ANavigators Group, Inc. N/A - - - The company maintains catastrophe reinsurance to protect against

catastrophic events within an acceptable range of expected outcomes on a PML basis. The Gulf of Mexico offshore energy windstorm exposures are currently contained within their retention.

A.M. Best Credit Report Pg 9 8/30/2019

Palomar Holdings, Inc. Actual - - 2.3% As of January 1, 2020, we currently retain $5 million of risk per earthquake or wind event, inclusive of any amounts retained through our Bermuda reinsurance subsidiary, and our reinsurance program currently provides for coverage up to $1.2 billion for earthquake events, subject to customary exclusions, with coverage in excess of our estimated peak zone 1 in 250 year probable maximum loss (“PML”) event and in excess of our A.M. Best requirement. In addition, we maintain reinsurance coverage equivalent to or better than the 1 in 250 year PML for our other lines. As of December 31, 2019, our first event retention represented approximately 2.3% of our stockholders’ equity. (Shareholders Equity as of 12/31/2019 $218.6 mn)

Palomar 2019 10-K Filing, Reisnurance section page 17

12/31/2019





Company



ProSight Global, Inc. Actual 0.9% - 0.9%

We measure exposure to such catastrophe losses and LAE in terms of Probable Maximum Loss (“PML”), which is an estimate of the level of loss we would expect to experience in a windstorm or earthquakeevent occurring once in every 100 or 250 yearsEffective June 15, 2019, we purchased catastrophe reinsurance coverage of $195.0 million per event in excess of our $5.0 million per event retention, which was an increase of $90.0 million of catastrophe reinsurance coverage per event from the coverage we purchased in 2018. (Shareholders Equity as of 12/31/2019 $543 mn)

ProSight 2019 10-K Filing, Reisnurance section page 75

12/31/2019

RLI Corp. Actual - - 15.1%

Based on the CAT reinsurance treaty purchased on January 1, 2020, there is a 99.6 percent likelihood that the net loss will be less than 15.1 percent of policyholders’ statutory surplus as of December 31, 2019. The exposure levels are within our tolerances for this risk.The property reinsurance program consists of a per risk excess of loss treaty with a $25,000,000 limit and maximum retention of $1,200,000, and a corporate catastrophe cover. For earthquake, there is a surplus share cover with a per risk limit of $25,000,000 and a maximum occurrence limit of $154,000,000. Both the Per Risk and surplus covers are placed on a risk attaching basis, so a single event will access two treaty years. Marine is covered by an excess of loss treaty, with a total limit of $30,000,000 and maximum retention of $2,000,000.

RLI 2019 10-K Filing, Property Reinsurance Section, page 11; AM Best Report #3883,Reinsurance Section page 11

12/31/2019 (10 k); 11/07/2019 (AMB)

Sampo Plc Actual - - -

A group-wide reinsurance program has been in place in IF P&C since 2003. In 2019, retention levels were between MSEK 100 million (approximately EUR 9.4 million) and MSEK 250 million (approximately EUR 23.6 million) per risk and MSEK 250 million (approximately EUR 23.6 million) per event.

Sampo plc 2019 Board of Directors' Report and Financial Statements, Premium Risk and Catastrophe Risk Management and Control Section, Page 124

12/31/2019

State National Companies Inc. N/A - - - No risk tolerance metrics indicated N/A N/A

Suncorp Group Limited Actual - - -

The reinsurance program has been maintained for FY20. The program is provided by a range of reinsurers, with over 85% of protection provided by reinsurers rated ‘A+’ or better. From 1 July 2019, the upper limit on the main catastrophe program, which covers the Home, Motor and Commercial Property portfolios across Australia and New Zealand for major events, will remain unchanged at $7.2bn. The Group’s maximum event retention in Australia remains at $250m. Consistent with the FY19 program, the main catastrophe program includes one prepaid reinstatement which covers losses up to $7.2bn for a second event and two further prepaid reinstatements at the lower layer which covers losses up to $500m for the third and fourth events. For New Zealand, the Group continues to purchase a program to reduce the first event retention to NZ $50m and the second and third event retentions to NZ $25m.

Suncorp Group Ltd. 2019 Annual Report - Analyst Pack full year ended 30 June 2019, Group Reinsurance Section, Page 21

6/30/2019





Company


Topdanmark A/S Actual - - - Storm and Rainstorms: Reinsurance covers storm claims of up to DKK 5.1bn with a retention of DKK 100m. Snow loading, snow thawing and cloudburst are also covered. Reinstatement for the proportion of the cover used up is activated by payment of a reinstatement premium. In the event of another storm within the same year, there is cover of a further DKK 5.1bn with a retention of DKK 100m. In the event of a third and fourth storm, there is cover of up to DKK 670m with a retention of DKK 20m if the events occur within the same calendar year. To this should be added the cover not already hit twice by the first two storms. The cover of a third or fourth storm is dependent on the storm programme not having been hit previously by two individual storms each exceeding DKK 2.9bn. The storm programme is renewed on 1 July.Specific reinsurance cover of DKK 100m for cloudburst takes effect if accumulated annual cloudburst claims exceed DKK 50m. For a claim to be accumulated, the event must exceed DKK 10m. The maximum retention in the event of an extreme cloudburst is DKK 75m plus reinstatement premiums. Fire: Topdanmark has a proportional reinsurance programme for fire with a maximum retention of DKK 25m per claim on any one business.

Topdanmark A/S 2019 Annual Report, Disaster risks Section, Page 63

12/31/2019

Unico American Corporation Actual - - - Crusader also has catastrophe reinsurance treaties from various highly rated California authorized and California unauthorized reinsurance companies. These reinsurance treaties help protect Crusader against losses in excess of certain retentions from catastrophic events that may occur on property risks which Crusader insures. In calendar years 2019, 2018, and 2017, Crusader retained a participation in its catastrophe excess of loss reinsurance treaties of 5% in its 1st layer (reinsured losses between $1,000,000 and $10,000,000) and 0% in its 2nd layer (reinsured losses between $10,000,000 and $46,000,000).

Unico 2019 10-k, Reinsurance, Page 7

12/31/2019

United Fire Group, Inc. Actual - - - The group also maintains catastrophe reinsurance which covers 100% of $230 million, excess of a $20 million retention, and includes one automatic reinstatement

United Fire & Casualty Co. 2019 10k, Reinsurance Section, Page 96

12/31/2019

W. R. Berkley Corporation Actual - - - The Company purchases property reinsurance to reduce its exposure to large individual property losses and catastrophe events. Following is a summary of significant property reinsurance treaties in effect as of January 1, 2020: The Company’s property per risk reinsurance generally covers losses between $2.5 million and $60 million. The Company’s catastrophe excess of loss reinsurance program provides protection for net losses between $15 million and $395 million for the majority of business written by its U.S. Insurance segment operating units and Lloyd's Syndicate, excluding offshore energy. The Company’s catastrophe reinsurance agreements are subject to certain limits, exclusions and reinstatement premiums.

W.R. Berkley 2019 10-K Filing, Reinsurance Section, Page 54

12/31/2019

White Mountains Insurance Group, Ltd. N/A - - - No risk tolerance metrics indicated N/A N/A





Company



Alleghany Corporation Actual 8.1% - 9.1% “Florida, Wind” and “Northeast U.S., Wind” have the highest modeled after-tax net catastrophe costs for a 100 and 250-year return period single zone occurrence, respectively. These costs would represent approximately 7 percent and 8 percent, respectively, of stockholders’ equity attributable to Alleghany as of December 31, 2019, compared with approximately 6 percent and 8 percent, respectively, for the highest modeled after-tax net catastrophe costs for a 100 and 250-year return period single zone occurrence as of December 31, 2018. There is much uncertainty and imprecision in the compilation of these estimates. Moreover, the makeup of our in-force business is constantly changing as new business is added and existing contracts terminate or expire, including contracts for reinsurance coverage purchased by us. In addition, there could be possible scenarios that are not captured in our analysis. Additionally, other risks, such as an outbreak of a pandemic disease, a major terrorist event, the bankruptcy of a major company or a marine and/or aviation disaster, could also have a material adverse effect on our business and operating results. Shareholders Equity as of 12/31/2019 $8.7bn

Alleghany 2019 10-K Filing, Catastrophe Exposure section, page 144

12/31/2019

AXIS Capital Holdings Limited Actual 5.6% - 20.0% At the 1-in-250-year return period, we are not willing to expose more than 20% of our prior quarter-end common-equity from a single event within a single zone.our modeled single occurrence 1-in-100-year return period PML for a Southeast U.S. hurricane, net of reinsurance, is approximately $0.3 billion. According to our modeling, there is a one percent chance that on an annual basis, losses incurred from a Southeast hurricane event could be in excess of $0.3 billion. Conversely, there is a 99% chance that on an annual basis, the loss from a Southeast hurricane will fall below $0.3 billion. (Shareholders Equity as of 12/31/2019 is $5,544 mn)

Axis Capital Holdings Ltd 2019 10-K Filing, Natural peril catastrophe risk section, page 15

12/31/2019

Berkshire Hathaway Inc. Target - - - We employ various disciplined underwriting practices intended to mitigate potential losses and attempt to take into account all possible correlations and avoid writing groups of policies from which pre-tax losses from a single catastrophe event might aggregate above $10 billion. Currently, we estimate that our aggregate exposure from a single event under outstanding policies is significantly below $10 billion. However, despite our efforts, it is possible that losses could manifest in ways that we do not anticipate and that our risk mitigation strategies are not designed to address. Additionally, various provisions of our policies, such as limitations or exclusions from coverage, negotiated to limit our risks, may not be enforceable in the manner we intend. Our tolerance for significant insurance losses may result in lower reported earnings in a future period.(Shareholders Equity as of 12/31/2019 is $428.5bn)

Berkshire Hathaway 2019 10-K Filing, Risk Factors Section, Page 25

12/31/2019

China Reinsurance (Group) Corporation N/A - - - In terms of catastrophe risk management, China Re has licensed systems from both Risk Management Solutions, Inc. (RMS), and AIR Worldwide Corporation (AIR), and it performs catastrophe modeling internally. The group also continuously monitors its zonal risk aggregation.

China Reinsurance Corp AM Best Report #090958, Reinsurance Section 7

11/22/2019






Actual/ Target 1:100 1:200 1:250 Summary Source DateEverest Re Group, Ltd. Target 7.8% - 9.7% Management estimates that the projected net economic loss from its largest

100-year event in a given zone represents approximately 6% of its December 31, 2019 shareholders’ equity. Company's PML exposure, net of third party reinsurance for Southeast U.S. Wind, California Earthquake, Texas Wind for 1-in-100 year event is, $715M, $703M, $605M, respectively and for 1-in-250 year is, $850M, $881M, $884M, respectively. Net economic losses, defined as PML exposures, net of third party reinsurance, reinstatement premiums and estimated income taxes, for Southeast U.S. Wind, California Earthquake, Texas Wind for 1-in-100 year event is, $534M, $517M, $487M, respectively and for 1-in-250 year is, $643M, $674M, $725M, respectively. (Stockholders Equity as of 12/31/2019 is $9132.9 mn)

Everest Re 2019 10-K Filing, Risk Management of Underwriting and Reinsurance Arrangements section, Page 13

12/31/2019

Greenlight Capital Re, Ltd. Actual - - 22.9% As of January 1, 2020, our estimated net PML exposure (net of retrocession and reinstatement premiums) at a 1-in-250 year return period for a single event and in aggregate was $91.9 million and $109.2 million, respectively. We categorize peak zones as: United States, Canada and the Caribbean; Europe; Japan; and the rest of the world. (Stockholders Equity as of 12/31/2019 is $477.2 mn)

Greenlight Re 2019 10-K Filing, page 69

12/31/2019

Hannover Rück SE Target 10.2% 18.7% 14.0% The Company's aggregate maximum annual loss for 100-year and 250-year events for Winter storm Europe is EUR 376.3 million and EUR 602.2 million. Hurricance US / Caribbean is EUR 1154.9 million and EUR 1595.1 million. Typhoon Japan is EUR 216.1 million and EUR 302 million. Earthquake Japan is EUR 341.2 million and EUR 733 million. Earthquake US West Coast is EUR 602.7 million and EUR 1258.7 million. Earthquake Australia is EUR 148.9 million and EUR 474.8 million. The Company's all natural catastrophe aggregate net loss threshold and limit for 1:200 year event is EUR 1,913 million and EUR 2125 million. (Shareholders Equity as of 12/31/2019 is EUR 11,354.5 million)

Hannover Re 2019 Annual Report, Underwriting risks in property and casualty reinsurance, Page104

12/31/2019

Maiden Holdings, Ltd. N/A - - - No risk tolerance metrics indicated N/A N/AMünchener Rückversicherungs-Gesellschaft AG

Actual - 20.6% - Munich Re’s greatest natural hazard exposure lies in the scenarios “Atlantic Hurricane” and “Earthquake North America”. Our estimates of exposure for the coming year to the peak scenarios for a return period of 200 years are €6.3bn (5.0bn) for Atlantic Hurricane and €5.9bn (4.9bn) for “Earthquake North America” (before tax, retained). (Stockholders Equity as of 12/31/2019 is €30,576 mn)

Munich Re Group 2019 Annual Report, Risk Management Section, Page 75

12/31/2019

Partner Re Actual - - 11.7% The PML estimates are pre-tax and net of retrocession and reinstatement premiums. The peril zones in this disclosure are major peril zones for the industry. The Company has exposures in other peril zones that can potentially generate losses greater than the PML estimates in this disclosure. 1 in 250 year PML's are U.S. Southeast Hurricane $790mn, U.S. Northeast Hurricane $847mn, U.S. Gulf Coast Hurricane $802mn, Caribbean Hurricane $264mn, Europe Windstorm $410mn, Japan Typhoon $301mn, California Earthquake $755mn, British Columbia Earthquake $164mn, Japan Earthquake $447mn, Australia Earthquake $289mn and New Zealand Earthquake $256mn. 1 in 500 year PML's California Earthquake $1107mn, British Columbia Earthquake $328mn,Japan Earthquake $523mn, Australia Earthquake $366mn, New Zealand Earthquake $362mn.( Shareholders equity 12/31/2019 $7270.2mn)

Partner Re 2019 10-K Filing, Natural Catastrophe Probable Maximum Loss (PML) section, Page 41

12/31/2019





Company



RenaissanceRe Holdings Ltd. N/A - - - No risk tolerance metrics indicated N/A N/A

SCOR SE Target - 10.5% - Limits and exposures net of reinsurance and reinstatements / pre-tax for a 1-in-200-year annual probability are given for Major fraud in largest US earthquake (8.58%), North Atlantic hurricane (10.35%), EU wind (10.51%), Japan Earthquake(3.92%), Terrorist attack (3.60%). (Stockholders Equity as of 12/31/2019 is EUR 6,374mn).

SCOR Investor Day 2019 - Risk tolerance limits, Page 118, Shreholders Equity -SCOR AR 2019 results , Page 2

SCOR IP -09/03/2019

Sirius International Insurance Group, Ltd.

Actual 15.7% - 22.9% Sirius Group has exposure to catastrophe losses, mostly for Global Property, caused by hurricanes, earthquakes, tornadoes, winter storms, windstorms, floods, tsunamis, terrorist acts and other catastrophic events. An estimate of Sirius Group's three largest PML zones on a per occurrence basis for 1-in-100 and 1- in-250 year events as of January 1, 2020 as measured by net after-tax exposure. (Shareholders Equity as of 12/31/2019 $1,640.4 mn)The estimate of Sirius Group's three largest PML zones on a per occurrence basis for 1-in-100 ; Southeast U.S. - 15.7%, West Coast U.S. -13.0% , Europe 11.3% and 1-in-250 year events Southeast U.S. - 15.7%, West Coast U.S. - 13.0% , Europe 11.3% as of January 1, 2020 as measured by net after-tax exposure

Sirus Group 10k, Catastrophe Risk Management section, Pg No 13

12/31/2019

Swiss Re Limited Actual - 20.5% - As of 12/31/2019 1:200 PML net losses for: Atlantic Hurricane is $6.4B, California EQ is $4.4B, Europe WS is $2.4B and Japan EQ is $3.7B, Lethal Pandemic is $3.1B (Stockholders Equity as of 12/31/2019 is $31.037 billion)

Swiss Re 2019 Annual Report, P&C Risk Section, Page 71

12/31/2019

Third Point Reinsurance Ltd. N/A - - - No risk tolerance metrics indicated N/A N/A

Watford Holdings Ltd. Target - - 10.0% We seek to limit our modeled net PML for property catastrophe exposures for each peak peril and peak zone from a modeled 1-in-250 year occurrence to no more than 10% of our total capital, which is less than most of our principal reinsurance competitors. As of January 1, 2020, our largest modeled peak peril and zone net occurrence PML was 4.2%, respectively, of our total capital. (Shareholders Equity as of 12/31/2019 $872 mn)

Watford 2019 10-K, Underwriting, natural and man-made catastrophic events section , Pg 160

12/31/2019



Contact Information

Greg HeerdeHead of Americas [email protected]

Dan Dick Executive Managing Director, Catastrophe Management [email protected]

Patrick Matthews, CFAGlobal Head of Rating Agency [email protected]

Matt DiSanto US Capital [email protected]

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