Description
We have a request to included a new reinsurance treaty type into which loss is ceded from multiple facultative contracts. The facultative contracts each cover a 'facility' and have varying layer terms (attachment and limit) which apply before percent ceded to the treaty, which also varies by facility. The treaty does not have occurrence terms but may be partially placed hence PercentPlaced is also used.
The implementation would involve listing each facility as a line in the scope file, and add two new fields for the facility attachment point and limit. The existing CededPercent in the scope file (used only for Surplus Share at present) would also be used.
We don't know if there is a formal name for this type of treaty as we have not been able to find any online references to the structure.
The order of calculations would be 1) Line Attachment and Limit (scope), 2) CededPercent (scope), 3) PlacedPercent (info)
Example files and calculation is attached:
fac_line_illustration_v2.xlsx
Help wanted
If you recognise this type of structure, please comment below with a suggested name for the ReinsType, any alternative field name suggestions, and any online sources of information.
Reasons for change
To represent more complex reinsurance structures that exist in the market but we have no way of representing currently in OED.
Scope of change
Impact of change
Addition of fields would mean that validation tools would have to be updated to allow the new fields to be used.
However the additional fields would be optional, so older version of OED files will still be compatible with the updated schema including these new fields.
Data type, default values, are blanks allowed, list valid values
| Field Name |
Data type |
Default values |
Blanks allowed |
Valid values |
| LineAttachment |
Float |
0 |
Yes |
[0,) |
| LineLimit |
Float |
0 |
Yes |
[0,) |
| LineCurrency* |
char(3) |
n/a |
No |
Valid 3 digit Currency Code |
*Added following comment below from @IPE-Pierre
Alternative field name suggestions are welcome, given this type of structure has not yet been formally identified.
They should not, however, be labelled Risk Attachment and Limit, as they are not the same as risk terms in a Per Risk Treaty which applies after Percent Ceded, not before.
Description
We have a request to included a new reinsurance treaty type into which loss is ceded from multiple facultative contracts. The facultative contracts each cover a 'facility' and have varying layer terms (attachment and limit) which apply before percent ceded to the treaty, which also varies by facility. The treaty does not have occurrence terms but may be partially placed hence PercentPlaced is also used.
The implementation would involve listing each facility as a line in the scope file, and add two new fields for the facility attachment point and limit. The existing CededPercent in the scope file (used only for Surplus Share at present) would also be used.
We don't know if there is a formal name for this type of treaty as we have not been able to find any online references to the structure.
The order of calculations would be 1) Line Attachment and Limit (scope), 2) CededPercent (scope), 3) PlacedPercent (info)
Example files and calculation is attached:
fac_line_illustration_v2.xlsx
Help wanted
If you recognise this type of structure, please comment below with a suggested name for the ReinsType, any alternative field name suggestions, and any online sources of information.
Reasons for change
To represent more complex reinsurance structures that exist in the market but we have no way of representing currently in OED.
Scope of change
Impact of change
Addition of fields would mean that validation tools would have to be updated to allow the new fields to be used.
However the additional fields would be optional, so older version of OED files will still be compatible with the updated schema including these new fields.
Data type, default values, are blanks allowed, list valid values
*Added following comment below from @IPE-Pierre
Alternative field name suggestions are welcome, given this type of structure has not yet been formally identified.
They should not, however, be labelled Risk Attachment and Limit, as they are not the same as risk terms in a Per Risk Treaty which applies after Percent Ceded, not before.