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Original Risk: A Society for Change Agents

PERILS industry loss index used for over $2.79 billion of risk transfer


PERILS AG, the independent Zurich-based company providing industry-wide European catastrophe insurance data and loss indices, continues to gain traction as the preferred source of European windstorm loss data and index tools. They announced today that their PERILS industry loss index has been involved in just over $2.79 billion worth of risk transfer transactions since the beginning of 2010.

In 20 months of operation the PERILS industry loss index has been used to place significant risk into the capital markets and also into the reinsurance markets. Of the $2.79 billion in transactions using their index, $1.07 billion was in catastrophe bond or insurance-linked securities (ILS) form while the other $1.72 billion was in the form of private transactions such as industry loss warranties (ILW’s).

More than half of the capacity transacted using PERILS used their high-resolution datasets to structure custom industry loss triggers which PERILS say result in significantly lower basis risk than conventional industry loss triggered protection.

PERILS based capacity from 1 January 2010 to 31 August 2011

PERILS based capacity from 1 January 2010 to 31 August 2011

Luzi Hitz, CEO of PERILS, said; “I am very proud that the PERILS industry loss index has established itself as the industry loss trigger of choice for transferring European storm risk to reinsurers and capital markets investors. It is also rewarding to see that the majority of transactions make use of the PERILS data granularity to structure protection triggers. We expect this trend towards bespoke triggers to continue.”

Edi Held, Head of Sales & Products at PERILS, added; “More than half of the limits placed with PERILS based triggers use the  high-resolution data. Applying weighting factors by CRESTA zone, country or property lines of business significantly reduces the basis risk for industry-loss-based risk transfer. At the same time, disclosure requirements for the risk ceding party remain at a tolerable level. This makes risk transfer using tailor-made PERILS triggers a highly effective and efficient risk management technique.”

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