Annual Report - Scor

Annual Report SCOR 2009
january february march april may june july august september october november december
In London, prizes were awarded to Radhika Sen, from Heriot Watt
University, for her dissertation entitled “An Extension of the Lee-
Carter Model to Project Mortality by Incorporating the Cohort
Effect” and to Faisal Baluch, from City University, for his study
entitled ”Systemic Risk: Financial Institutional Symmetry or Meso
Idiosyncrasy? A comparison of the Banking & Insurance Sectors”.
In Munich, Gregor Svindland of Ludwig-Maximilian University in
20
Do reinsurers automatically cover
the risk of a pandemic?
A pandemic would have a significant impact on practically
all life and accident contracts (health, disability, death), with
a different impact for reinsurers depending on the nature of
the cover reinsured and the exposure of the reinsurer. Only
those insurance contracts that cover accidental death and
disability would remain unexposed, along with excess of loss
catastrophe treaties, which are based on the notion of an
accidental event. However, treaties covering death and
longevity would certainly be affected by a pandemic.
Is this a risk reinsurers should
regularly cover for their cedants?
All health and mortality policies are usually exposed to the
risk of a pandemic. It would be very difficult, and maybe
impossible, to exclude this risk from our reinsurance cover:
■ In order to exclude the risk, the pandemic would have to
be defined in detail so that the resulting claims could be
eliminated case by case. The confusion between the H1N1
virus and seasonal flu sufficiently underlines the difficulty
involved in this.
Munich received an award for his thesis entitled “Convex Risk Measures
Beyond Bounded Risks”, as did Anja Blatter of the University of Karlsruhe
for her dissertation entitled “Optimal Control and Dependence
Modelling of Insurance Portfolios with Lévy Dynamics”. Stefan Pohl, of
the University of Cologne, received an award for his work entitled
“Cancelling at the principal expiry date in Motor Insurance - Discretetime
analysis of the risk rate with left-truncated data”.
INSIDE WORD
Pandemics:
from the protection of cedants
to the protection of reinsurers
By Emmanuel Durousseau
■ Attempts have been made to reduce or exclude this risk
from stop loss treaties when the epidemic reaches stage 6
in terms of seriousness, as defined by the WHO, or to
reduce cover in the event of such a stage 6 being declared
by the WHO.
Isn’t it very expensive for a reinsurer
to protect itself against all the heightened
sanitary risks involved?
Of course, contractual safety measures exist within traditional
retrocession, offering similar solutions to those provided by
reinsurers. Such measures include stop loss with a specific
trigger in the event of a pandemic, as well as specific nonproportional
excess of loss catastrophe treaties to cover the
risk of a pandemic. The most up to date solutions are those
adopted by SCOR through swaps and a mortality bond based
on the deviation of a general mortality indicator. Necessary
due to SCOR’s high level of involvement in Life and accident
reinsurance, which makes the risk of a pandemic one of the
peak risks in our ERM analysis, these solutions are efficient,
but still very costly.