Prepared for Prepared By

Prepared for • International Insurance Forum, Munich, 26 June 2017 Prepared by • Eduard Held, PERILS AG

“More Market Data, Please”

Agenda

► “More Data Please”

► PERILS

► Discussion

► Appendix

PERILS AG June 2017 Slide 2 “More Data Please” (for natural catastrophes)

Better nat cat Less surprises risk assessment More stability

More Higher efficiency liquidity/supply Better economics

PERILS AG June 2017 Slide 3 PERILS

PERILS AG June 2017 Slide 4 PERILS - Data Aggregator & Reporting Agency

FOR THE INDUSTRY - BY THE INDUSTRY

PERILS Shareholders, each with equal share, include Allianz SE, AXA, Assicurazioni Generali, Groupama, Guy Carpenter, Insurance Australia Group, Munich Re, Partner Re, Swiss Re, and Zurich Insurance Group. PERILS’ purpose is to add transparency to the natural catastrophe risk landscape thereby increasing the liquidity and stability of the Nat Cat insurance market. For more info, please visit WWW.PERILS.ORG.

PERILS AG June 2017 Slide 5 PERILS – Mission

1. Improve Cat risk assessment vs. ► Real market data for model validation and model calibration

Model Reality ► Market TSI (IEDs), loss data and vulnerabilities

2. Facilitate industry-loss-based risk transfer

► Independent and specialized reporting agency required

PERILS AG June 2017 Slide 6 8 Years of PERILS – 8 Years of Increasing Industry Support

► Since 8 years

► Market support > 65%

► By the Industry, for the Industry

PERILS AG June 2017 Slide 7 PERILS Exposure Data 2017 - 4 Perils, 15 Countries

► Update released 1 April 2017 ► Windstorm: Austria, Belgium, Denmark, France, Germany, Ireland, Luxembourg, Netherlands, Norway, Sweden, Switzerland, United Kingdom ► Flood: Italy, Turkey, United Kingdom ► Earthquake: Italy, Turkey ► ANP: Australia

► Per CRESTA Zones ► Per Property Line of Business ► Building/Content/BI ► Number of Risks

PERILS AG June 2017 Slide 8 PERILS Exposure Data 2017: Example Germany

► Per CRESTA Zones ► Per Property Line of Business ► Building/Content/BI ► Number of Risks

PERILS AG June 2017 Slide 9 PERILS Loss Data: Example UK Flood Desmond 1/2

UK Floods "Desmond" - Aggregate Data National Currencies - 4th and final Report

JBA - % Flooded of JBA - Avg Water Depth Max Avg Gauge Height CRESTA ID Occupancy Type Currency Number of Losses All Loss All MDR (%) Affected Risks (%) Avg Loss Built-Up Area in Built-Up Area [m] above 5% Level [m] GBR_BA COMMERCIAL GBP 0 0 n/a n/a n/a 0.000000% 0.000000% 0 GBR_BA RESIDENTIAL GBP 2 73,965 n/a n/a n/a 0.000246% 0.000892% 36,983 GBR_BB COMMERCIAL GBP 20 622,087 0.0038% 0.0002 0.8658 0.002587% 0.050281% 31,104 GBR_BB RESIDENTIAL GBP 40 853,613 0.0038% 0.0002 0.8658 0.002695% 0.013326% 21,340 GBR_BD COMMERCIAL GBP 20 353,534 n/a n/a 0.7705 0.001239% 0.039879% 17,677 GBR_BD RESIDENTIAL GBP 49 1,062,772 n/a n/a 0.7705 0.002906% 0.013885% 21,689

► Minimum of 4 loss reports Flood “Desmond” (4 – 20 Dec 2015) GBP m 800 ► Split Residential vs. Commercial 717 400 662 597 604 ► Number of Losses 0 1st 2nd 3rd final ► MDRs

► Peak Gust values (3 sources)

► Geo-resolution CRESTA Zone

PERILS AG June 2017 Slide 10 PERILS Loss Data: Example UK Flood Desmond 2/2

PERILS AG June 2017 Slide 11 Exposure Validation: Example EQ Italy

Aggregate Exposure Data - Earthquake Italy - in National Currency - Low-Resolution CRESTA Format

Total Sum Insured per Coverage Loss Limits in % of Average TSI CRESTA ID CRESTA Description Property LOB Currency Number of Risks Buildings Value Contents Value BI Value LL Lower End LL Upper End LL Best Estimate ITA_00 ITA_00 COMMERCIAL EUR 15,751 68,160,464,466 49,137,607,624 11,009,670,945 20.00% 70.00% 38.00% ITA_00 ITA_00 RESIDENTIAL EUR 13,002 16,354,756,163 1,653,586,379 59,396,001 20.00% 70.00% 40.00% ITA_01 ITA_01 COMMERCIAL EUR 1,448 982,244,375 1,541,560,436 131,688,992 20.00% 70.00% 38.00% ITA_01 ITA_01 RESIDENTIAL EUR 1,767 563,111,427 81,714,440 3,274,031 20.00% 70.00% 40.00% ITA_02 ITA_02 COMMERCIAL EUR 505 528,215,782 560,639,787 80,918,958 20.00% 70.00% 38.00% ITA_02 ITA_02 RESIDENTIAL EUR 661 174,081,015 19,680,450 662,708 20.00% 70.00% 40.00% ITA_03 ITA_03 COMMERCIAL EUR 1,570 4,354,617,238 9,197,907,512 2,664,124,723 20.00% 70.00% 38.00%

► Example EQ Italy, based on 70% + of the market

► Per 2-digit PC, split to commercial and residential

► Number of Risks

► Property sums insured: buildings, contents, business interruption

► Original insurance conditions: Loss limits, deductibles

PERILS AG June 2017 Slide 12 Loss Validation: Example Tropical Cyclone Australia “Debbie”

► PERILS makes available industry exposure and loss vs. data, including event intensity measures

► PERILS data allow the Model Reality validation and calibration of modelled data with real data: 1. Industry Exposure 2. Vulnerability 1,700 1,500 functions 1,300 vs. 1,116 3. Event Losses 750 ► Improve reliability of Cat Model A Model B Model C Model D PERILS models for Australia Modelled Loss PERILS Loss

PERILS AG June 2017 Slide 13 Vulnerability Validation / Derivation

► Vulnerability of Insured Damage Physical Values Loss TSI Degree Intensity 70 / 1’000’000 = 0.007% of TSI 28 m/s ► Highly crucial component in any Cat model

► Over time risk modelling will benefit

and will make risk assessment more robust and realistic

► Shows the value of combining loss with DamageDegree exposure data

Physical Intensity PERILS AG June 2017 Slide 14 PERILS Use Case - Model Comparison

PERILS EQ /TC Australia Exposure DB 2016 modelled with vendor models ► Model comparison using a consistent market exposure benchmark

► Over time will benefit risk modelling and will make risk assessment more robust and realistic

► Example: PERILS EQ and PERILS TC Australia Exposure DB 2016 modelled with vendor models

- AIR: Gross occurrence losses with average properties enabled, without demand surge, Touchstone v5 - Corelogic: Gross losses, after insurance conditions; RQE 16.10.00 Build 231 - RMS: RiskLink 16.0; wind only, no post-loss amplification. CRESTA level analysis. Both models will be updated in 2018

PERILS AG June 2017 Slide 15 PERILS Facilitates Significant Additional Risk Capacity 1/2

PERILS-based limits issued (cumulative) total issued 1 Jan 2010 to 18 Jan 2017, in USD m 15,000 USD 14.2bn

10,000

5,000 Private and ILS

0 2010 2011 2012 2013 2014 2015 2016 2017

144A ILS, ILW, Collateralized R/I, Risk Swaps

PERILS AG June 2017 Slide 16 PERILS Facilitates Significant Additional Risk Capacity 2/2

► Consistent source and methodology for IED USD 3.3bn (used for risk assessment) and trigger

► Since 2010 more than USD 14bn of PERILS - based limits have been placed

► PERILS expects that its expansions to Australia and Canada will facilitate additional industry-loss based capacity in this market

PERILS AG June 2017 Slide 17 PERILS-based Risk Transfer – Reducing Basis Risk

► Industry Loss weighted

by country, state / province or CRESTA

► Simple and Actual Loss Actual straightforward protection

► Easy modelling

► No disclosure of Structured Industry Loss proprietary data Industry Loss Parametric / Modelled Loss ► Reduced basis risk

Trigger Value

PERILS AG June 2017 Slide 18 Discussion

PERILS AG June 2017 Slide 19 Appendix

PERILS AG June 2017 Slide 20 Recent Investigated Events

Event Start Event Name Peril Captured Markets Original Industry Loss Status Date Debbie 28-Mar-17 Tropical Cyclone AUS AUD 1’116m Qualifying Extratropical Zeus 06-Mar-17 FRA EUR 269m Qualifying Cyclone Udo-Volkmar Extratropical 26-Feb-17 - - Non-qualifying (Ewan) Cyclone Extratropical BEL, DEU, GBR, Thomas (Doris) 23-Feb-17 EUR 249m Qualifying Cyclone IRL, NLD

Sydney Hailstorm 17-Feb-17 Hailstorm - - Non-qualifying

Extratropical Kurt-Leiv-Marcel 03-Feb-17 - - Non-qualifying Cyclone EQ Central Italy 18-Jan-17 Earthquake - - Non-qualifying Extratropical Egon 12-Jan-17 DEU, FRA EUR 234m Qualifying Cyclone EQ Series Central 26-Oct-16 Earthquake ITA EUR 125m Qualifying Italy EQ Central Italy 24-Aug-16 Earthquake ITA EUR 66m Qualifying

PERILS AG June 2017 Slide 21 PERILS Data Application - Market Share Analysis

TSI Market Share ► TSI and Loss market shares in both maps are with identical colour coding

► Some zones have clearly higher Loss market shares than TSI market shares

► Why? Event Loss Market Share ► Inferior risks than market average? ► Claims adjustment? ► Claims fraud?

► PERILS Market Data can be used to identify weak and strong spots in own portfolio

PERILS AG June 2017 Slide 22

Tropical Cyclone “Debbie”, 28 Mar 2017

► First qualifying event for Australia

► First Loss Report released on 9 May 2017 (6 weeks after event)

► AUD 1’116m industry loss ► SE QLD, NE NSW ► Major river flooding next to wind damage ► Continued into NZL

► 2nd loss report on 28 June 2017

► Following loss reports in full resolution: 4 digit postcode, commercial/private lines

TC “Debbie” (28 Mar 2017) AUD m 1,500 1,000 500 1,116 0 1st 2nd 3rd 4th PERILS AG June 2017 Slide 23 Extra-Tropical Cyclone “Egon”, 12-13 Jan 2017

► Second Loss Report released on 12 Apr 2017 (3 months after event)

► EUR 234m industry loss ► Event period 12-13 Jan 2017 ► FRA and DEU most affected

ETC “Egon” (12-13 Jan 2017) EUR m 600 400 200 212 234 PERILS AG 0 June 2017 Slide 24 1st 2nd 3rd final EQ Series Central Italy 26-30 Oct 2016

► Loss Reports 1 & 2 released on 7 Dec and 26 Jan 2017 ► 6 weeks and 3 months after event

► EUR 125m industry loss ► “Norcia” Earthquake ► EQ Series consisting of M5.4, M5.9 and M6.5 (!) earthquakes ► Similar epicentral area like August EQ but damaging shaking intensities extended over much wider area

EQ Series Italy (26-30 Oct 2016) EUR m

200 125 100 31 PERILS AG 0 June 2017 Slide 25 1st 2nd 3rd final PERILS Use Case – “Model” Building

► PERILS DB provides all Zone Gust* % TSI* TSI* Loss** necessary data to build own (deterministic) Cat FRA-01 31 m/s 0.05% 10’000 5 model FRA-02 35 m/s 0.10% 20’000 20 ► Physical Event Intensity ► Mean Damage Ratios (% etc. etc. etc. etc. etc. TSI) from past events ► PERILS Industry TSI DB

Total FRA - - 1’500’000 300 ► Scenario Loss Model

*from PERILS DB ** calculated

PERILS AG June 2017 Slide 26 Live Loss Forecasts - Wind-Jeannie (WJ)

► Wind-Jeannie is a website providing real-time industry loss forecasts for European Windstorms

► Updates every 12 hours

► Functionality similar to weather forecast websites

Runs on PC, laptops, tablets, smart phones ► WJ can assist insurance companies to prepare for large windstorm events ► loss adjuster and call centers ► internal communication ► short-term protection

► Exclusive on-line service for PERILS data providers and clients

► www.wind-jeannie.org

PERILS AG June 2017 Slide 27 Live Loss Forecasts - Wind-Jeannie

► wind footprint for each forecast

► loss footprint for each forecast

► download in Excel format

PERILS AG June 2017 Slide 28 How Good is WJ? Selected Large Events

Wind-Jeannie Forecasts (green) vs. Actual (orange) – EUR M

0 200 400 600 800 1,000 1,200

Christian

Xaver

Dirk

Tini

Elon-Felix

Niklas

Nils

PERILS AG * Average last two loss forecasts closest in time to actual event. June 2017 Slide 29 Risk Transfer – Consistency between IED and Trigger Cat Bonds where PERILS acts as Reporting Agency

Protection Buyer ILS Name Limit USD m Weighting Swiss Re Successor X 120 country Swiss Re Vega Capital 107 country AXA Calypso Capital I 395 CRESTA/LoB ► All shown ILS Groupama Green Fields 99 CRESTA/LoB Munich Re Queens Street II 100 country transactions use Argo Re Loma Capital 100 none PERILS IED for risk Munich Re Queens Street III 150 country assessment and AXA Calypso Capital II 248 CRESTA/LoB Munich Re Queen Street IV 100 country PERILS event loss for Swiss Re Successor X 50 country trigger Amlin Tramline 150 country Scor Atlas VI 67 CRESTA Swiss Re Successor X 23 CRESTA/LoB ► Consistent source and Munich Re Queen Street V 75 CRESTA/LoB methodology for IED Swiss Re Mythen Ltd. 250 country Munich Re Queens Street VI 100 CRESTA/LoB (used for risk Hannover Re Eurus III 131 CRESTA assessment) and Munich Re Queens Street VII 75 CRESTA/LoB trigger Scor Atlas VII 168 CRESTA Groupama Green Fields II 370 CRESTA/LoB AXA Calypso II - A 250 CRESTA/LoB ► Majority of the bonds AXA Calypso II - B 223 CRESTA/LoB Catlin Galileo Re 300 country used for retrocession Amlin Tramline II 200 country purpose XL Catlin Galileo Re II 300 country Munich Re Queen Street XII 190 CRESTA/LoB XL Catlin Galilei Re 2016-1 750 CRESTA/LoB XL Catlin Galilei Re 2017-1 525 CRESTA/LoB PERILS AG June 2017 Slide 30 PERILS AG Contact Details

PERILS AG Marktgasse 3 8001 Zurich Switzerland

[email protected] PERILS.ORG T: +41 44 256 8100

PERILS AG June 2017 Slide 31