Swiss Re Insurance-Linked Fund Management

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PERILS launches European windstorm industry loss index


PERILS, the independent company based in Zurich which was set up to aggregate and report on European catastrophe insurance data, has announced the launch of an industry loss index for European windstorm events.

The idea of the service is to provide an index against which insurance-linked securities and industry loss warranties can be measured. Trigger points can be set as index values. This is the first time such an index has existed (at least one so independent and flexible) for European windstorms so opens up new possibilities for those wishing to issue ILS and ILW to protect against European wind risks. Even trigger definitions can be customised against the index by weighting regions and property types.

Data is aggregated from insurers who underwrite property catastrophe in the affected areas and is then processed using standard methods to estimate the industry-wide losses. PERILS say the index will be updated within six weeks of an event and will be updated regularly after three, six and twelve months. More than 50 companies currently support PERILS by providing exposure and loss data with that number expected to grow.

We’ve only seen one catastrophe bond this year which is covering European windstorm risks (Atlas VI). Hopefully as PERILS becomes more established it could become as widely used as PCS data is in U.S. cat bonds. The market needs to diversify more frequently and get away from being predominantly about U.S. hurricane risks. With the help of organisations like PERILS this looks like a real possibility now.

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