Materials - Property and Casualty Risk-Based Capital (E) Working Group

1

Date: 6/7/22

Virtual Meeting

CATASTROPHE RISK (E) SUBGROUP

Tuesday, June 14, 2022

1:00 – 2:00 p.m. ET / 12:00 – 1:00 a.m. CT / 11:00 a.m. – 12:00 p.m. MT / 10:00 – 11:00 a.m. PT

ROLL CALL

Wanchin Chou, Co-Chair Connecticut Anna Krylova New Mexico

Halina Smosna, Co-Chair New York Tom Botsko Ohio

Robert Ridenour, Vice Chair Florida Andrew Schallhorn Oklahoma

Laura Clements California Will Davis South Carolina

Judy Mottar Illinois Miriam Fisk Texas

Gordon Hay Nebraska

NAIC Support Staff: Eva Yeung

AGENDA

1. Hear a Presentation from the International Society of Catastrophe Managers Attachment A

(ISCM) On Its Program—Shari S. Zola (International Society of Catastrophe

Managers—ISCM)

2. Discuss

the Independent Model Review Instruction in the Rcat Component Attachment B

—Wanchin Chou (CT)

3. Evaluate Other Catastrophe Risks for Possible Inclusion in the Rcat Component

—Halina Smosna (NY)

4. Consider Exposure of Proposal 2022-04-CR (2013-2021 Wildfire Event Lists) Attachment C

—Wanchin Chou (CT)

5. Discuss Any Other Matters Brought Before the Subgroup—Wanchin Chou (CT)

6. Adjournment

1

ELEVATING OUR PROFESSION

Attachment A

2

Best Practice Experts

Gain and demonstrate knowledge of practical

applications in catastrophe modeling

• Property / Cat Insurance Market Standards

• Understanding Best Use of Catastrophe Models

• Proven knowledge & support of Property Cat

(re)insurance value chain

How:

• 4 courses & exams + Ethics Course (waivers for exam 1)

• Experienced Industry Professional Pathway available by

nomination with 5+ years experience

Recognized Subject Matter Experts

Demonstrate advanced applications and

methodologies of catastrophe risk management or

development/delivery of models

• Customized / Advanced Applications

• Tailoring Own View of CAT Risk

• Capable of Critical Assessments

• Trusted Advisor to Senior Stakeholders

How:

• Experienced Industry Professional Pathway available by

nomination

• New Technical pathway available

• No exams yet – targeting 2024 for Risk Managers

For more information visit www.catmanagers.org/accreditation

and www.catriskcredentials.org

Credentialization – Proven Experience

Certified Specialist in Catastrophe Risk (CSCR)

Certified Catastrophe Risk Management Professional (CCRMP)

Proof &

recognition of

expertise

Joint endeavor

between ISCM &

iCAS

Over 180

credentialed

professionals

Industry defined

competencies

Attachment A

Continuing Education

3

2021 Education Events

 Thunderstorm and Midwest Derecho panel

 Liability Exposure Management

 Asia-Pacific Seismic Risk Viewed Through a Global Lens

 LMA/ISCM Webinar: Climate Risk

 Open Source Catastrophe Modeling panel

 Catastrophe Model Validation – An External Perspective

 Artificial Intelligence and Machine Learning: How will it

shape cat risk management?

 Learning from Catastrophe Surprises

 Post Event Challenges: Supply Chain, Demand Surge, and

Loss Amplification

 Climate Data Analytics in the Catastrophe World

2021 Coffee Talks

 March – Careers panel

 April – Catastrophe Modeling Exhibits in PowerBI

 May – IBHS Housing as Infrastructure

 June – Hunting for a Climate Change Signal in Atlantic

Hurricane Noise

 July – Website & Discussion Forum

 August – From Black Box to Glass Box: Evaluation

Catastrophe Models to Support a View of Risk

 October – Impact of USGS 2018 Hazard Update on Loss

Assessments

 December – An Introduction to Cyber

Attachment A

Continuing Education

4

2022 Education Events

 January APAC webinar

 Landfalling Tropical Cyclones in East Asia: Variability and

Future Projections

 March IUA/Oasis webinar with ISCM guest speakers

 Cat Women – Highlighting female role models in the

Catastrophe Community

 April – Lessons Learnt from European Flood “Bernd”

 June – Scenario Modeling

 August – Effective Science Communication by Prof Scott St.

George

2022 Coffee Talks

 January – 2021 Cat Review

 March – Open-Source Interoperability

 May – Past, Present, and Future of Terrorism Modeling

 July – Hurricane Season Outlook with Phil Klotzbach

Looking for Leaders for the ISCM Coffee

Talk Series:

15 minutes of content - 15 minutes of

Q&A

If you would like to lead a coffee talk

topic, please send a brief description of

your proposed topic to Emily Sambuco

(emily.sambuco@libertymutual.com).

All non-marketing topics welcome!

Hoping to return to in-person

education events in the fall of 2022

Potential future topics for Education Events or Coffee Talks

• Ukraine/Social Unrest

• Strikes, Riots, and Civil Commotion Analytics

• Pandemic

• Credential Process

• Actionable approaches for cat managers on sustainability

• Incorporating climate risk into statistics

• Clash between nat cat and liability

• Systemic liability

• Cascading risk: volcanos and tsunamis

• Cat modeling skillsets utilized outside the insurance industry

• Spectrum of Professionalism

• Estimating and Trending Losses

Attachment A

ISCM Website

5

ISCM Archive

 Member only access to past presentation slide

decks / webinar recordings

Topic Forum

 Post- webinar / conference discussions

 Structured discussions by topic

 Open chat

Other

 Event postings & registration

 Membership subscriptions

Resource Library

 Reference documents by peril, company,

 White papers

 Industry reports

Accreditation

 Description of various credentials and

pathways

 Value proposition

 Templates for candidates and managers

Visit the website: www.catmanagers.org

New

Attachment A

Executive Directors

Corporate Members

Julie Serakos, Secretary

RMS

Dan Dick, Treasurer

Aon

David Keeton, Immediate Past President

Avoca Risk Management Solutions

Jon Ward, Vice President

RLI

Shari Zola, President

Munich Re

Matt Nielsen

RMS

Peter Bingenheimer

AIR

Tom Larsen

CoreLogic

Ron Nash, Past President

Nick DiMuzio, Past President

Axa XL

Alan Godfrey

Sompo International

Maria Kovas, Past President

Brian Bastian

Guy Carpenter

Mark Christensen

Chubb

Megan Hart

Aon

Kelly Hereid

Liberty Mutual

Monica Mason

Core Specialty

David Singh

MS Amlin

Jeff Tennis

Cincinnati Re

Emma Watkins

Lloyds

Peter Zimmerli

Axis Capital

Current Board of Directors

Interested in helping to lead this community

by joining the ISCM Board?

The Nomination Committee is currently

reviewing “credentialed” candidates to fill

open board seats. Let us know if you would

like to be considered.

6

Attachment A

Volunteers

A special thank you to all our volunteers, we wouldn’t be able to do

this without your hard work and dedication.

7

Mark Tilbury

W/R/B Underwriting

Steve Greenberg

Insight Catastrophe

Managers

Imelda Powers

Guy Carpenter

Megan Royek Carne – Allstate

Tim Edwards – TigerRisk

Christopher Fox – Aon

Shubharoop Ghosh – ImageCat

Jason Kowieski – Guy Carpenter

Howard Kunst – CoreLogic

Michelle McClane – Munich Re Specialty Insurance

Kerry Mindiak – BMS

Brittany Recker – Munich Re Specialty Insurance

Emily Sambuco – Liberty Mutual

Andy Siffert – BMS

Craig Tillman – WeatherPredict

LeeAnn Tomko – Intact Insurance

Veronica Van Dyke – American Family

Past Board Members

Liz Cleary – Guy Carpenter

Randy Law – Chubb Tempest Re

Minchong Mao – Aon

Brian Owens

Chris Zumbrum – Guy Carpenter

Attachment A

Technology

Manages the website

containing events

calendar; resource

library; ISCM archive;

forum; membership

database.

Education

Plan virtual and in

person sessions for all

levels in the field.

Marketing

Messaging current

happenings and web

content. Promoting ISCM

and the Cat Credentials.

Credentialization

Development and

maintenance of exams,

review of Experienced

Industry Practitioner

applications.

8

email us: info@catmanagers.org

ISCM Committees

Get Involved

Attachment A

9

ISCM Membership

To become member visit our Website at

Already a member, please update your

profile!

Attachment A

CALCULATION OF CATASTROPHE RISK CHARGE RCAT

PR027A, PR027B, PR027C, PR027, AND PR027INT

The catastrophe risk charge for earthquake (PR027A), and hurricane (PR027B), and wildfire for informational purposes only PR027C) risks is calculated by multiplying the RBC

factors by the corresponding modeled losses and reinsurance recoverables. The risk applies on a net basis with a corresponding contingent credit risk charge for certain categories of

reinsurers. Data must be provided for the worst year in 50, 100, 250, and 500; however, only the worst year in 100 will be used in the calculation of the catastrophe risk charge. While

projected losses modeled on an Aggregate Exceedance Probability basis is preferred, companies are permitted to report on an Occurrence Exceedance Probability basis if that is consistent

with the company’s internal risk management process.

The projected losses can be modeled using the following NAIC approved third party commercial vendor catastrophe models: AIR, EQECATCoreLogic for earthquake and hurricane

only, RMS, KCC, the ARA HurLoss Model (hurricane only), or the Florida Public Model for hurricane, as well as catastrophe models that are internally developed by the insurer or that

are the result of adjustments made by the insurer to vendor models to represent the own view of catastrophe risk (hereinafter “own models”).

However, an insurer seeking to use an own model must first obtain written permission to do so by the domestic or lead state insurance regulator. In the situation where the model output

is used to determine the catastrophe risk capital requirement for a single entity, the regulator granting permission to use the own model is the domestic state. In the situation where the

model output is used to determine the catastrophe risk capital requirement for a group, the grantor is the lead state regulator. In the situation where the insurer seeking permission is a

non-U.S. insurer, the grantor shall be the lead state regulator. Under all scenarios, the regulator that is granting permission should inform other domestic states that have a catastrophe

risk exposure and share the results of the review.

To obtain permission to use the own model, the insurer must provide the domestic or lead state insurance regulator with written evidence of each of the following:

1. The use of the own model is reasonable considering the nature, scale, and complexity of the insurer’s catastrophe risk

;

2.

The own model is used for catastrophe risk management, capital assessment, and the capital allocation process and the model has been used for at least the last 3

years;

3

. The perils included in the RBC Catastrophe Risk Charge have been validated by the insurer and that these perils include both US and global exposures, where ap

plicable;

4. The own model has been developed using reasonable data and assumptions and that model results used in determining the RBC Catastrophe Risk Charge reflect exposure data

that is no older than six months;

5. The insurer has individuals with experience in developing, testing and validating internal models or engages third parties with such experience. The insurer must provide

su

pporting model documentation and a copy of the latest validation report and the insurer is solely responsible for the relevant cost. For each peril included in the RBC

Catastrophe Risk Charge, the validation report should attest that the projected losses are a reasonable quantification of the exposure of the reporting entity. The validation

report must provide a description of the scope, content, results and limitations of the validation, the individual qualifications of validation team and the date of the validation.

Both the model documentation and the model validation report must be provided at a minimum once every five years, or whenever the lead or domestic state calls an

examination; whenever there is a material change in the model; or whenever there is a material change in the insurer’s exposure to catastrophe expos

ure.

6

. The results of the own model should be compared with the results produced by at least one of the following models: AIR, EQECATCoreLogic for earthquake and

hurricane

only, RMS, KCC, ARA HurLoss (hurricane only), or the Florida Public Model for hurricane. The insurer must provide the comparison and an explanation of the drivers of

differences between the results produced by the internal model vs. results produced by the selected prescribed model.

7. If the own model has been approved or accepted by the non-U.S. group-wide supervisor for use in the determination of regulatory capital, the insurer must submit eviden

ce, if

available, from t

he non-US group-wide supervisor of the most recent approval/acceptance including the description of scope, content, results and limitations of the

approval/acceptance process and dates of any planned future approval/acceptance, if known. The name and the contact information of a contact person at the non-US group-

wide supervisor should also be provided for questions on the approval/acceptance proces

s.

Attachment B

If the lead or domestic state determines that permission to use the own model cannot be granted, the insurer shall be required to determine the RBC Catastrophe Risk Charge through

the use of one of the third party commercial vendor models (AIR, EQECATCoreLogic for earthquake and hurricane only, RMS, KCC, ARA HurLoss (hurricane only)), or the Florida

Public Model for hurricane, as advised by the lead state or domestic state.

If the lead or domestic state determines that permission to use the own model can be granted to determine the RBC Catastrophe Risk Charge, the model will be subject to additional

review through the ongoing examination process. If, as a result of the examination, the lead or domestic state determines that permission to use the own model should be revoked, the

insurer may be required to resubmit the risk-based capital filing and any past filings so impacted where own model was used, as directed by the lead state or domestic state.

If the insurer obtains permission to use the own model, it cannot revert back to using third party commercial vendor models to determine the RBC Catastrophe Risk Charge in subsequent

reporting periods, unless this is agreed with the lead or domestic state that granted permission.

The contingent credit risk charge should be calculated in a manner consistent with the way the company internally evaluates and manages its modeled net catastrophe risk.

Note that no tax effect offsets or reinstatement premiums should be included in the modeled losses. Further note that the catastrophe risk charge is for earthquake and hurricane risks

only.

As per the footnote on this page, modeled losses to be entered PR027A, and PR027B and PR027C in Lines (1) through (4) are to be calculated using one of the third party commercial

vendor models – AIR, EQECATCoreLogic for earthquake and hurricane only, RMS, KCC, ARA HurLoss (hurricane only); or the Florida Public Model (hurricane only)or the insurer’s

own catastrophe model; and using the insurance company’s own insured property exposure information as inputs to the model. The insurance company may elect to use the modeled

results from any one of the models, or any combination of results of two or more of the models. Each insurer will not be required to utilize any prescribed set of modeling assumptions

but will be expected to use the same exposure data, modeling, and assumptions that the insurer uses in its own internal catastrophe risk management process. Any exceptions must be

explained in the required Attestation Re: Catastrophe Modeling Used in RBC Catastrophe Risk Charges within this RBC Report.

The Grand Total (PR027) page includes an iInterrogatory on page (PR027INT) to supports an exemption from filing the catastrophe risk charge.

A

ny company qualifying for exemption from the earthquake risk charge must identify the particular criteria from among (1a), (1b), (2) and (3) that provides its qualification for

exemption, and may leave the other three items from this group of four possible qualifications for exemption blank; except identification of criteria (3) as the basis for the exemption

requires a further answer to (3a) and (3b). ). If an insurer does not write or assume earthquake risks leaving no gross exposure, enter an “X” in PR027INT interrogatory 3, with no need

to fill in (3a) and (3b). If the company qualifies for exemption from the earthquake risk charge, page PR027A and line (1) on PR027 may be left blank.

Any company qualifying for exemption from the hurricane risk charge must identify the particular criteria from among (4a), (4b), (5) and (6) that provides its qualification for exemption,

and may leave the other three items from this second group of four possible qualifications for exemption blank. If an insurer does not write or assume hurricane risks leaving no gross

exposure, enter an “X” in PR027INT interrogatory 6.If the company qualifies for exemption from the earthquake risk charge, page PR027A and line (1) on this page may be left blank.

If the company qualifies for exemption from the hurricane risk charge, page PR027B and line (2) on this pagePR027 may be left blank. If an insurer does not write or assume hurricane

risks leaving no gross exposure, enter an “X” in interrogatory 6.

An

y company qualifying for exemption from the wildfire risk charge must identify the particular criteria from among (7a), (7b), (8) and (9) that provides its qualification for exemption

and may leave the other three items from this third group of four possible qualifications for exemption blank. If an insurer does not write or assume hurricane risks leaving no gross

exposure, enter an “X” in PR027INT interrogatory 9. If the company qualifies for exemption from the wildfire risk charge, page PR027C and line (3) on PR027 may be left blank

In general, the following conditions will qualify a company for exemption: if it uses an intercompany pooling arrangement or quota share arrangement with U.S. affiliates covering

100% of its earthquake, and hurricane and wildfire risks such that there is no exposure for these risks; if it has a ratio of Insured Value – Property to surplus as regards policyholders of

less than 50%; or if it writes Insured Value – Property that includes hurricane, and/or earthquake and/or wildfire coverage in catastrophe-prone areas representing less than 10% of its

surplus as regards policyholders.

Attachment B

“Insured Value – Property” includes aggregate policy limits for structures and contents for policies written and assumed in the following annual statement lines – Fire, Allied Lines,

Earthquake, Farmowners, Homeowners, and Commercial Multi-Peril.

“Catastrophe-Prone Areas in the U.S.” include:

i. For hurricane risks, Hawaii, District of Columbia and states and commonwealths bordering on the Atlantic Ocean and/or the Gulf of Mexico including Puerto Rico.

ii. For earthquake risk or for fire following earthquake, any of the following commonwealth or states: Alaska, Hawaii, Washington, Oregon, California, Idaho, Nevada, Utah,

Arizona, Montana, Wyoming, Colorado, New Mexico, Puerto Rico, and geographic areas in the following states that are in the New Madrid Seismic Zone - Missouri, Arkansas,

Mississippi, Tennessee, Illinois and Kentucky.

iii. For wildfire risk, California, Idaho, Montana, Oregon, Nevada, Wyoming, Colorado, New Mexico, Washington, Arizona, and Utah.

Specific Instructions for Application of the Formula

Column (1) – Direct and Assumed Modeled Losses

These are the direct and assumed modeled losses per the first footnote. Include losses only; no loss adjustment expenses. For companies that are part of an inter-company pooling

arrangement, the losses in this column should be consistent with those reported in Schedule P, i.e. losses reported in this column should be the gross losses for the pool multiplied by the

company’s share of the pool.

Column (2) – Net Modeled Losses

These are the net modeled losses per the footnote. Include losses only; no loss adjustment expenses.

Column (3) - Ceded Amounts Recoverable

These are the modeled losses ceded under any reinsurance contract. Include losses only, no loss adjustment expenses, and should be associated with the Net Modeled Losses.

Column (4) - Ceded Amounts with Zero Credit Risk Charge

Per the footnote, modeled catastrophe losses that would be ceded to the categories of reinsurers that are not subject to the RBC credit risk charge (i.e., U.S. affiliates and mandatory

pools, whether authorized, unauthorized, or certified).

Column (6) – Amount

These are automatically calculated based on the previous columns.

Column (7) - RBC Requirement

A factor of 1.000 is applied to the reported modeled catastrophe losses calculated on both AEP and OEP basis, and a factor of 0.018 is applied to the reinsurance recoverables. The RBC

Requirement is based on either AEP reported results or OEP reported results (not both), consistent with the way the company internally evaluates and manages its modeled net catastrophe

risk.

Column (5) – Y/N

Please indicate “Y” for OEP basis and “N” for AEP basis. This column should not be blank.

Attachment B

(1)

(1a)

________________________________________________________________________________________________________________________________________________________________________________________________

(1b)

________________________________________________________________________________________________________________________________________________________________________________________________

(2)

________________________________________________________________________________________________________________________________________________________________________________________________

(3)

________________________________________________________________________________________________________________________________________________________________________________________________

(4)

________________________________________________________________________________________________________________________________________________________________________________________________

(5)

________________________________________________________________________________________________________________________________________________________________________________________________

(6)

________________________________________________________________________________________________________________________________________________________________________________________________

(7) Completed By:

Last First Middle

(7) Email: (7) Phone: Date:

Provide an explanation of the methodology used to derive the amounts in columns 3 and 4 of page PR027A and PR027B.

The following describes the steps taken to validate, to the best of the Company's knowledge and belief, the accuracy and completeness of the exposure data used in the modeling process to determine the Rcat catastrophe risk charges (provide attachments if

necessary):

The company further certifies that the underlying exposure data used in the catastrophe modeling process is accurate and complete to the best of our knowledge and ability, with the following limitations:

The following describes the extent to which the exposure location data is accurate to GPS coordinates; to zip code; and to a level less accurate than zip code: (provide attachments if necessary):

hereby certifies that the modeled catastrophe losses for earthquake risk and hurricane risk entered on lines 1 through 3 of Schedule PR027 of this Risk-Based Capital Report were determined by

Title

(7) Completed on behalf of:

_________________________________________________________

The following describes the company's application of catastrophe modeling to the determination of the Rcat risk charges: (Include which models are used in what combinations for each of the Rcat charges; what key modeling assumptions are used, including but not

limited to time dependency, secondary uncertainty, storm surge, demand surge, and fire following earthquake; and the rationale for treatment of each issue or item): (provide attachments if necessary):

Company Name

ATTESTATION RE: CATASTROPHE MODELING USED IN RBC CATASTROPHE RISK CHARGES PR002

These exceptions, if any, are made for the following reasons:

applying the same catastrophe models or combination of models to the same underlying exposure data, and using the same modeling assumptions, as the company uses in its own internal risk managemnt process, with the following exceptions:

PR002

Attachment B

CALCULATION OF CATASTROPHE RISK CHARGE FOR EARTHQUAKE PR027A

(1) (2) 3† (4)††

Earthquake

Reference

Direct and Assumed Net Ceded Amounts Recoverable Ceded Amounts Recoverable

with zero Credit Risk Charge

(1)

Worst Year in 50

Company Records

(2)

Worst Year in 100

Company Records

(3)

Worst Year in 250

Company Records

(4)

Worst Year in 500

Company Records

(5)

Y/N

(5)

Has the company reported above, its modeled earthquake losses using an occurrence exceedance probability (OEP) basis?

(6) (7)

Amount

Factor RBC Requirement

(C(6) * Factor)

(6)

Net Earthquake Risk 0 1.000 0

(7)

Contingent Credit Risk for Earthquake Risk 0 0.018 0

(8)

Total Earthquake Catastrophe Risk (AEP Basis) 0 1.000 0

(9)

Total Earthquake Catastrophe Risk (OEP Basis) 0 1.000 0

(10)

Total Earthquake Catastrophe Risk 0

L(8) C(7) + L(9) C(7)

Reference

Modeled Losses

L(2) C(2)

L(2) C(3) - C(4)

If L(5) C(5) = "N", L(8) C(6) = L(6) C(7)+ L(7) C(7), otherwise "0"

If L(5) C(5) = "Y", L(9) C(6) = L(6) C(7)+ L(7) C(7), otherwise "0"

††Column (4) is modeled catastrophe losses that would be ceded to the categories of reinsurers that are not subject to the RBC credit risk charge (i.e., U.S. affiliates and mandatory pools, whether authorized, unauthorized, or certified).

Lines (1)-(4): Modeled losses to be entered on these lines are to be calculated using one of the following NAIC approved third party commercial vendor catastrophe models - AIR, EQECAT, RMS, the ARA HurLoss Model, or the Florida Public Model for

hurricane; or a catastrophe model that is internally developed by the insurer and has received permission of use by the lead or domestic state. The insurance company's own insured property exposure information should be used as inputs to the model(s). The

insurance company may elect to use the modeled results from any one of the models, or any combination of the results of two or more of the models. Each insurer will not be required to utilize any prescribed set of modeling assumptions, but will be expected

to use the same data, modeling, and assumptions that the insurer uses in its own internal catastrophe risk management process. An attestation to this effect and an explanation of the company's key assumptions and model selection may be required, and the

company's catastrophe data, assumptions, model and results may be subject to examination.

† Column (3) is modeled catastrophe losses that would be ceded under reinsurance contracts. This should be associated with the Net Modeled Losses shown in Column (2).

Denotes items that must be manually entered on the filing software.

PR027A

Attachment B

CALCULATION OF CATASTROPHE RISK CHARGE FOR HURRICANE PR027B

(1) (2) 3† (4)††

Hurricane

Reference

Direct and Assumed Net Ceded Amounts Recoverable Ceded Amounts Recoverable

with zero Credit Risk Charge

(1)

Worst Year in 50

Company Records

(2)

Worst Year in 100

Company Records

(3)

Worst Year in 250

Company Records

(4)

Worst Year in 500

Company Records

(5)

Y/N

(5)

Has the company reported above, its modeled hurricane losses using an occurrence exceedance probability (OEP) basis?

(6) (7)

Amount

Factor RBC Requirement

(C(6) * Factor)

(6)

Net Hurricane Risk 0 1.000 0

(7)

Contingent Credit Risk for Hurricane Risk 0 0.018 0

(8)

Total Hurricane Catastrophe Risk (AEP Basis) 0 1.000 0

(9)

Total Hurricane Catastrophe Risk (OEP Basis) 0 1.000 0

(10)

Total Hurricane Catastrophe Risk 0

Denotes items that must be manually entered on the filing software.

Modeled Losses

Reference

L(2) C(2)

L(2) C(3) - C(4)

If L(5) C(5) = "N", L(8) C(6) = L(6) C(7)+ L(7) C(7), otherwise "0"

If L(5) C(5) = "Y", L(9) C(6) = L(6) C(7)+ L(7) C(7), otherwise "0"

L(8) C(7) + L(9) C(7)

Lines (1)-(4): Modeled losses to be entered on these lines are to be calculated using one of the following NAIC approved third party commercial vendor catastrophe models - AIR, EQECAT, RMS, the ARA HurLoss Model, or the Florida Public Model

for

hurricane; or a catastrophe model that is internally developed by the insurer and has received permission of use by the lead or domestic state. The insurance company's own insured property exposure information should be used as inputs to the model(s). The

insurance company may elect to use the modeled results from any one of the models, or any combination of the results of two or more of the models. Each insurer will not be required to utilize any prescribed set of modeling assumptions, but will be expected

to use the same data, modeling, and assumptions that the insurer uses in its own internal catastrophe risk management process. An attestation to this effect and an explanation of the company's key assumptions and model selection may be required, and the

company's catastrophe data, assumptions, model and results may be subject to examination.

††Column (4) is modeled catastrophe losses that would be ceded to the categories of reinsurers that are not subject to the RBC credit risk charge (i.e., U.S. affiliates and mandatory pools, whether authorized, unauthorized, or certified).

† Column (3) is modeled catastrophe losses that would be ceded under reinsurance contracts. This should be associated with the Net Modeled Losses shown in Column (2).

PR027B

Attachment B

CALCULATION OF CATASTROPHE RISK CHARGE PR027

(1)

Reference

RBC Amount

(1) Total Earthquake Catastrophe Risk PR027A L(10) C(7)

0

(2) Total Hurricane Catastrophe Risk PR027B L(10) C(7)

0

(3)

Total Catastrophe Risk (R

cat)

SQRT(L(1)^2 + L(2)^2)

0

INTERROGATORY TO SUPPORT EXEMPTION FROM COMPLETING PR027 (To be completed by companies reporting no RBC charge in either Line 1 or Line 2)

Place an "X" in the appropriate

cell for the criteria under which

the company is claiming an

exemption

A

Earthquake Exemption (To be completed by companies reporting no RBC charge in Line 1) -

(1) The company has not entered into a reinsurance agreement covering earthquake exposure with a non-affiliate or a non-US affiliate and, either

(

1a) the company participates in an inter-company pooling arrangement with 0% participation, leaving no net exposure for earthquake risks; Or

(

1b) the company cedes 100% of its earthquake exposures to its US affiliate(s), leaving no net exposure for earthquake risks

(2)

T

he Company's Ratio of Insured Value - Property to surplus as regards policyholders is less than 50%

(3) The company has written Insured Value - Property that includes earthquake coverage in the Earthquake-Prone areas representing less than 10% of its surplus as regards policyholders

For any company qualifying for the exemption under 3 provide details about how the "geographic areas in the New Madrid Seismic Zone" were determined.

(3a) What resource was used to define the New Madrid Seismic Zone?

(3b) Was exposure determined based on zip codes or counties in the zone, was it based on all of the earthquake exposure in the identified states or was another methodology used? Describe any other

methodology used.

B Hurricane Exemption (To be completed by companies reporting no RBC charge in Line 2) -

(

4a) the company participates in an inter-company pooling arrangement with 0% participation, leaving no net exposure for hurricane risks; Or

(

4b) the company cedes 100% of its hurricane exposures to its US affiliate(s), leaving no net exposure for hurricane risks

(5)

T

he Company's Ratio of Insured Value - Property to surplus as regards policyholders is less than 50%

(6) The company has written Insured Value - Property that includes hurricane coverage in the Hurricane-Prone areas representing less than 10% of its surplus as regards policyholders

Note:

"Earthquake-Prone areas" include any of the following states or commonwealths: Alaska, Hawaii, Washington, Oregon, California, Idaho, Nevada, Utah, Arizona, Montana, Wyoming, Colorado,

New Mexico, Puerto Rico, and geographic areas in the following states that are in the New Madrid Seismic Zone - Missouri, Arkansas, Mississippi, Tennessee, Illinois and Kentucky.

"Hurricane-Prone areas" include Hawaii, District of Columbia and states and commonwealths bordering on the Atlantic Ocean, and/or Gulf of Mexico including Puerto Rico.

(4)

T

he company has not entered into a reinsurance agreement covering hurricane exposure with a non-affiliate or a non-US affiliate and, either

Denotes items that must be manually entered on the filing software.

PR027

Attachment B



2022 National Association of Insurance Commissioners

Cap

ital Adequacy (E) Task Force

RBC Proposal Form

[ ] Capital Adequacy (E) Task Force [ ] Health RBC (E) Working Group [ ] Life RBC (E) Working Group

[ x ] Catastrophe Risk (E) Subgroup [ ] Investment RBC (E) Working Group [ ] Op Risk RBC (E) Subgroup

[ ] C3 Phase II/ AG43 (E/A) Subgroup [ ] P/C RBC (E) Working Group

[ ] Stress Testing (E) Subgroup

DATE: 11/1/2021

CONTACT PERSON: Eva Yeung

TELEPHONE: 816-783-8407

EMAIL ADDRESS: [email protected]

ON BEHALF OF: Catastrophe Risk (E) Subgroup

NAME: Wanchin Chou

TITLE: Chair

AFFILIATION: Connecticut Department of Insurance

ADDRESS: 153 Market St,

Hartford, CT 06103

FOR NAIC USE ONLY

Agenda Item # 2022-04-CR

Year 2022

DISPOSITION

[ ] ADOPTED

[ ] REJECTED

[ ] DEFERRED TO

[ ] REFERRED TO OTHER NAIC GROUP

[ ] EXPOSED

[ ] OTHER (SPECIFY)

IDENTIFICATION OF SOURCE AND FORM(S)/INSTRUCTIONS TO BE CHANGED

[ ] Health RBC Blanks [ ] Property/Casualty RBC Blanks [ ] Life RBC Instructions

[ ] Fraternal RBC Blanks [ ] Health RBC Instructions [ ] Property/Casualty RBC Instructions

[ ] Life RBC Blanks [ ] Fraternal RBC Instructions [ x ] OTHER __Cat Event Lists___

DESCRIPTION OF CHANGE(S)

2013-2021 U.S. and non-U.S. Catastrophe Event Lists

REASON OR JUSTIFICATION FOR CHANGE **

Adding 2013 through 2021Wildfire events for 2022 RBC reporting

Additional Staff Comments:

___________________________________________________________________________________________________

** This section must be completed on all forms. Revised 11-2013

Attachment C

U.S.ListofCatastrophesforUseinReportingcatastropheDatainPR036andPR100+

Type of Even

t

Year Name Date Location

Overall losses when occurre

d

Wildfire 2013 Black Forest 6/11/13-6/20/13 Colorado Springs ~ 420.5 million

Wildfire 2013 Rim 8/17/13-9/20/13 Sierra Nevada, California > 100 million

Wildfire 2014 Texas 5/11/14-5/20/14 Texas, California > 25 million

Wildfire 2015 Butte Fire 9/9/15-10/1/15 Amador County, California ~ 300 million

Wildfire 2015 Valley Fire 9/12/15-10/15/15 Lake, Napa and Sonoma County, California ~ 700 million

Wildfire 2016 Erskine Fire 6/23/16-7/11/16 Lake Isabella, Kern County, California ~26 million

Wildfire 2016 Soberanes Fire 7/22/16-9/30/16 Soberanes Creek, Garrapata State Park, Santa Lucia Preserve, Monterey County, California > 200 million

Wildfire 2016 Chimney Fire 8/13/16-9/6/16 Santa Lucia Range, San Luis Obispo County, California > 25 million

Wildfire 2016 Clayton Fire 8/13/16-8/26/16 Lake County, California >25 million

Wildfire 2016 Gatlinburg Wildfire 11/29/16-12/5/16 Sevier County, Gatlinburg, Pigeon Forge, Tennessee ~637 million

Wildfire 2017 Northern California Wildfires

10/8/17-10/31/17 Northern Californi

a

~ 11 billion

Wildfire 2017 Southern California Wildfires

12/4/17-12/23/17 Southern California

~ 2.2 billion

Wildfire 2018 Spring Creek Fire 6/27/18-7/11/18 Spring Creek, Colorado

< 100 million

Wildfire 2018

Carr, Mendocino California

Wildfires

7/23/18-8/15/18 Northern California

>1,000 million

Wildfire 2018

Northern California Camp Wildfire

11/8/18-11/25/18

Butte County, California

>7.5 billion

Wildfire 2018

Southern California Woolsey

Wildfires

11/8/18-11/21/18

Los Angeles andVentura County, California

1.5 billion

Wildfire 2019

Australian Bushfires

9/2019-3/2020

New South Wales, Queensland, Victoria, South Australia, Western Australia, Tasmania and Northern

Territory

~910 million

Wildfire 2019 Saddleridge Wildfire 10/10/19-10/23/19 Sylmar, Los Angeles, Calimesa, Riverside County, California

<1,000 million

Wildfire 2019 Kincade Wildfire 10/23/19-11/6/19

Northeast of Geyserville, Sonoma County, California

<1,000 million

Wildfire 2020 Cameron Peak 08/13/20-12/02/20 Roosevelt National Forest, Larimer County, Colorado

~71 million

Wildfire 2020 SCU Lighting Complex Wildfire 8/16/20-9/16/20

San Franciscon Bay Area, Central Valleym Santa Clara, Alameda, Contra Costa, San Joaquin, Merced,

Stanislaus

<1,000 million

Wildfire 2020 Beachie Creek Wildfire 8/16/20-10/10/20

Approx. 2 miles south of Jaw Bones flats in rugged terrain deep in the Opal Creek Wilderness.

>1,000 million

Wilfire 2020 CZU Lightning Complex Wildfire 8/16/20-9/22/20

San Mateo and Santa Cruz Counties, California

>1,000 million

Wildfire 2020 LNU Lightning Complex WildFire 8/17/20-10/2/20

Lake, Napa, Sonoma, Solano, and Yolo Counties, California

> 1,000 million

Wildfire 2020 Carmel Fire 8/18/20-9/4/20

Carmel Valley, California

<1,000 milion

Wildfire 2020 North Complex Fire 8/18/20-10/12/20

Plumas and Butte Counties, California

<1,000 milion

Wildfire 2020 Creek Fire 9/4/20-10/12/20

Fresno and Madera Counties, California

<1,000 milion

Wildfire 2020 Bobcat Fire 9/6/20-10/23/20

Central San Gabriel Mountains, in and around the Angeles National Forest California

< 1,000 million

Wildfire 2020 Babb Road Fire 9/7/20-9/18/20

Malden and Pine City, Palouse County of Eastern Washington

<1,000 million

Wildfire 2020 Almeda Fire 9/7/20-9/16/20

Jackson County, Oregon

<1,000 milion

Wildfire 2020 Holiday Farm Fire 9/7/20-10/3/20

Willamette National Forest

<1,000 milion

Wildfire 2020 Echo Mountain Complex Fire 9/7/20-9/23/20

north of Lincoln City, Oregon

<100 milion

Wildfire 2020 Riverside FIre 9/8/20-10/3/20

Valley Drive between Misty Ridge Drive and Mitchell Avenue, Oregon

<100 milion

Wildfire 2020 Slater Fire 9/8/20-10-9/20

Northern California and Southern Oregon

<100 million

Wildfire 2020 Glass Fire 9/27/20-10/19/20

Napa and Sonoma Counties, California

> 1,000 million

Wildfire 2020 East Troublesome Fire 10/14/20-11/9/20 Grand County, Colorado ~543 million

Wildfire 2021 Bootleg Wildfire 7/17/21-8/6/21 Northwest of Beatty, Oregon <1,000 million

Wildfire 2021 Dixie Wildfire 7/14/21-10/5/21 Butte, Plumas, Tehama, Lassen and Shasta Counties, California >1,000 million

Wildfire 2021 Caldor Fire 8/14/21-10/5/21

El Dorado National Forest and other areas of the Sierra Nevada in El Dorado, Amador, and Alpine

County, Calfornia

<1,000 million

Wildfire 2021 Corkscrew Fire 8/15/21-8/30/21

Ford, WA; Tum Tum, Springdale, City of Deer Park, Loon Lake, Clayton, H395, Scoop Mt

<100 million

Wilfire 2021 Marshall Fire 12/30/21-1/1/22 Boulder County, Colorado ~ 2 billion

Attachment C

NonU.S.ListofCatastrophesForUseinReportingCatastropheDatainPR036andPR100+

Year Event Type Begin End Event Country Affected Area (Detail)

Munich Re

NatCATService

Insured losses (in

original values,

US$m) Criteria:

insured losses

equal/greater US$

25m. Tries to reflect

non-US losses onl

y

Swiss Re Sigma:

Insured Loss Est.

US$m (mid point

shown if range given)

Mostly reflect total

US and

nonUS losses

combined.

Others

2013 Wildfire 11/01/12 04/01/13 Tasmanian Bushfires Australia

Central Higlands, East coast

(Bicheno), Forestier and Tasman

Peninsulas, Tasmania, Australi

a

~$44m

2013 Wildfire 10/17/13 10/31/13

New South Wales

Bushfire

s

Australia New South Wales ~$138m

2014 Wildfire

Summer

2014

Northwest Territories

Fire

Canada

Northwest Territories, Canada

~$3.6b

2015 Wildfire 11/25/15 12/02/15 Pinery Bushfire Australia

Lower Mid North, Light River, West

Barossa, South Australia, Australia

$75m

2015 Wildfire 12/25/15

Wye River, Separation

Creek bushfires,

Australia

Great Ocean Road region of Victoria,

Australia

~$110m

2016 Wildfire 01/06/16

Waroona-Yarloop

Bushfire

Western Australia ~$71.25m

2016 Wildfir

e

05/01/16 05/26/16 Canada Wildfir

e

Canada Fort McMurra

y

$3.52b

2016

2016 Wildfire 11/22/16 11/27/16

November 2016 Israel

Fires

Israel

Various regions in Israel, mainly in

Haifa, Judaean Mountains and the

Sharon Plai

n

>$25m

2017 Wildfir

e

06/06/17 Knysna Fire

s

South Afric

a

Knysna region of the Western Cap

e

~$146

m

Attachment C

NonU.S.ListofCatastrophesForUseinReportingCatastropheDatainPR036andPR100+

2017 Wildfire 07/01/17 08/01/17

British Columnbia

Wildfire

s

Canada British Columbia >$78m

2017 Wildfire 10/15/17 10/16/17 Iberian Wildfires Portugal

Northern Portugal and Northwestern

S

p

ai

n

~$210m

2018 Wildfire May-18 Aug-18 Sweden Wildfires Sweden

ranging from north of Arctic Circle to

the sourthern Count

y

of Scania

.

>$87m

2018 Wildfir

e

Jul-18 Greece Wildfire

s

Greece Attica, Greece ~38.1

m

2020 Wildfir

e

10/04/20 Lake Ohau Fir

e

New Zealan

d

Northwest of Lake Ohau Villag

e

~$25

m

2020 Wildfire 02/05/21 Perth Hills Wildfire Australia

Shire of Mundaring, Shire of

Chittering, Shire of Northam City of

Swa

n

~$63m

Source: Munich Re's NAT CAT Service, Swiss Re Sigma and Aon Benfield

Attachment C