Extreme value techniques. Part II - value proposition for Fortune 500 companies

Document description

Swiss Re's Value Proposition is basically a consulting approach in which [using Swiss Re's risk-adjusted capital (RAC) concept] an optimal self-insured retention (SIR) is determined for a particular insured. Very early on in the 'Beta' product engineering process (described in Extreme Value Techniques -Part I), the 'Beta' implementation team made sure that: (1) 'Beta' standard coverages implement Swiss Re's Value Proposition for 'catastrophic' (or 'Beta') events and (2) that the 'Beta' pricing process fully reflects Swiss Re's Value Proposition for corporate clients in the Fortune 500 group of companies. This paper describes the 'Beta' (extreme value theory) implementation of Swiss Re's Value Proposition. The Oil & Petrochemicals industry is used as an example.