Hannover Rueck Se · XETR:HNR1

Hannover Rueck — Hannover Re — Investor Day (June 2006)

22 slides from Hannover Rueck's investor day presentation, Jun 23, 2006

  1. Slide 1: Risk Management - Aggregates and Protections for the Business Group P/C

    Risk Management - Aggregates and Protections for the Business Group P/C Ulrich Wallin Member of the Executive Board Specialty R/I & Group Protections 9th International Investors' Day ® London, 23 June 2006 hannover re

  2. Slide 2: Issues Covered

    Aggregates Retrocessions Impact of KRW Appendix ISSUES COVERED Æ Aggregates • Reduction of gross aggregates; comparison 2005/2006 in peak cat. zones • Impact of change in models (recalibration) on 100y PMLs in peak zones • Impact of rating agencies' capital models on capital requirement for cat. bus

  3. Slide 3: U.S. hurricane: Substantial Reduction of Aggregate Liability

    Aggregates Aggregates Retrocessions Impact of KRW Appendix U.S. hurricane SUBSTANTIAL REDUCTION OF AGGREGATE LIABILITY Exposed limits in m. EUR 2,800 2,572 2,400 - 30% 2,000 1,811 1,600 1,200 - 27% ,800 688 504 - 26% - 49% 442 ,400 288 226 213 0 Property cat. XL Property per-risk XL Property pro rat

  4. Slide 4: California earthquake: Substantial Reduction of Aggregate Liability

    Aggregates Aggregates Retrocessions Impact of KRW Appendix California earthquake SUBSTANTIAL REDUCTION OF AGGREGATE LIABILITY Exposed limits in m. EUR 2,000 1,738 - 19% 1,600 1,401 1,200 ,800 - 18% 516 421 429 - 52% - 35% ,400 328 206 213 0 Property cat. XL Property per-risk XL Property pro rata Pro

  5. Slide 5: European windstorm: Substantial Reduction of Aggregate Liability

    Aggregates Aggregates Retrocessions Impact of KRW Appendix European windstorm SUBSTANTIAL REDUCTION OF AGGREGATE LIABILITY 3,000 Exposed limits in m. EUR 2,664 - 13% 2,500 2,306 2,000 1,500 1,000 - 20% 463 ,500 372 - 50% 195 195 151 75 0 Property cat. XL Property per-risk XL Property pro rata Proper

  6. Slide 6: Peak Scenarios - Recalibration of Our Cat. Models

    Aggregates Aggregates Retrocessions Impact of KRW Appendix 1 in 100y aggregates PEAK SCENARIOS - RECALIBRATION OF OUR CAT. MODELS 100y-PML reductions nearly compensating recalibration in m. EUR 1,800 1,675 1,412 1,200 1,150 1,111 1,058 1,044 980 936 824 ,600 0 U.S. wind (AIR) U.S. EQ (AIR) European

  7. Slide 7: Increased Capital Requirement for Cat. Business

    Aggregates Aggregates Retrocessions Impact of KRW Appendix Capital requirement INCREASED CAPITAL REQUIREMENT FOR CAT. BUSINESS Significant change in rating agencies' models Æ Old basis: • 1 in 100y single largest event aggregate less a percentage of premiums and protections Æ New basis: • 1 in 250y

  8. Slide 8: Peak Zone Aggregates Dominate Cat. Exposure by Size

    Aggregates Aggregates Retrocessions Impact of KRW Appendix 1 in 100 year aggregates PEAK ZONE AGGREGATES DOMINATE CAT. EXPOSURE BY SIZE in m. EUR 1,200 1,150 1,044 980 ,800 497 ,400 368 323 213 123 86 64 0 U.S. Europe U.S. Japan Japan Canada Canada Australia New Zeal. Australia hurricane wind EQ EQ

  9. Slide 9: Peak Zone Exposure Drives Volatility of Catastrophe Portfolio

    Aggregates Aggregates Retrocessions Impact of KRW Appendix Peak zone exposure DRIVES VOLATILITY OF CATASTROPHE PORTFOLIO U.S. Europe California Japan Japan Peru Australia Group hurricane wind quake quake typhoon quake cyclone 250y exposure in m. EUR 10 10 10 10 10 10 10 Impact on convoluted 53.0% 40

  10. Slide 10: We Have More First Loss Cover

    Aggregates Retrocessions Retrocessions Impact of KRW Appendix Loss covers WE HAVE MORE FIRST LOSS COVER For peak zone cat. losses in 2006 as compared to 2005 in m. EUR 1050 1,000 1,020 220 893 900 200 860 853 80 828 40 Marine covers have 80 48 improved most significantly 750 mainly due to inclusion

  11. Slide 11: As-if Katrina: Significantly Smaller Gross and Net

    Aggregates Retrocessions Impact of KRW Impact of KRW Appendix As-if Katrina KATRINA WOULD BE SIGNIFICANTLY SMALLER (GROSS AND NET) Based on our 2006 portfolio on as-if basis in m. EUR 1,000 746 270 Other protections ,800 213 Non-marine ,600 cat. protections 982 8 Marine protections ,400 143 K5 non-m

  12. Slide 12: As-if Rita: Changes in Marine/Offshore Energy Covers

    Aggregates Retrocessions Impact of KRW Impact of KRW Appendix As-if Rita CHANGES IN THE MARINE/OFFSHORE ENERGY COVERS On the reinsurance and direct side bring down the as-if loss in m. EUR 220 137 165 68 Marine protections 13 K5 non-marine 110 202 56 K5 marine 55 65 0 Gross loss Protections Net loss

  13. Slide 13: As-if Wilma: Very Manageable Loss

    Aggregates Retrocessions Impact of KRW Impact of KRW Appendix As-if Wilma A WILMA-TYPE LOSS IS VERY MANAGEABLE (GROSS AND NET) Based on current portfolio 100 in m. EUR 13 K5 non-marine 75 50 85 72 25 0 Gross loss Protections Net loss Æ Reduced aggregates, exclusions of coastal exposures to a large e

  14. Slide 14: Total of KRW As-if Losses Is Down Significantly

    Aggregates Retrocessions Impact of KRW Impact of KRW Appendix As-if KRW TOTAL OF KRW AS-IF LOSSES IS DOWN SIGNIFICANTLY in m. EUR 1,400 1,269 896 13 85 137 202 1,050 746 ,700 982 373 ,350 72 65 236 0 "As-if" gross loss Protections "As-if" net loss Katrina Rita Wilma As-if gross and net losses demons

  15. Slide 15: Summary: Most Important Changes of Property Cat. Exposures

    Aggregates Retrocessions Impact of KRW Impact of KRW Appendix Summary MOST IMPORTANT CHANGES OF PROPERTY CAT. EXPOSURES Of our P/C business group Æ We have significantly reduced our cat. exposures. Nevertheless, due to the change in cat. models capital requirements for our cat. business have increas

  16. Slide 16: Appendix

    Appendix - Definitions - Specialty Protections ® hannover re

  17. Slide 17: Definition Exposed Limits of P/C Business Group Only

    Aggregates Retrocessions Impact of KRW Appendix Appendix Exposed limits DEFINITION EXPOSED LIMITS OF P/C BUSINESS GROUP ONLY Æ Exposed limit is defined as: • Cat.-XL: Treaty limit without any reinstatement for all treaties which are or could be exposed with respect to respective scenario • Pro rata:

  18. Slide 18: Recalibration of Hannover Re Aggregate Curve: Approach

    Aggregates Retrocessions Impact of KRW Appendix Appendix Approach RECALIBRATION OF HANNOVER RE AGGREGATE CURVE Æ Lessons learnt from Katrina • Katrina gross loss exceeds aggregate for Katrina return period significantly Æ Reasons: • Not modelled perils (flood) • Incompletely modelled loss components

  19. Slide 19: Recalibration of Hannover Re's Aggregate Curve

    Aggregates Retrocessions Impact of KRW Appendix Appendix Aggregate curve RECALIBRATION OF HANNOVER RE'S AGGREGATE CURVE Example for selected lines of business in % 100 Katrina return period 98 approx. 32 yrs 96 94 92 90 88 HR aggregate for 86 32 yrs after loading 84 HR aggregate for 32 yrs before lo

  20. Slide 20: Marine and Facultative Property Per Risk

    Aggregates Retrocessions Impact of KRW Appendix Appendix Speciality protection MARINE AND FACULTAIVE PROPERTY PER RISK Limited general XL1) Covers marine general as well as offshore energy business. USD 50,000,000 xs underlying1) 2) Marine general XL1) Offshore energy XL1) Marine general programme c

  21. Slide 21: Aviation Protections

    Aggregates Retrocessions Impact of KRW Appendix Appendix Specialty protections AVIATION PROTECTIONS Æ X/L account: • Original loss warranty: USD 126 m. • K5: 32.5% Æ Direct and facultative pro rata: • USD 192.5 xs 7.5 m. - Assuming a market share of 5%, account is covered for an original loss of up

  22. Slide 22: Protection of Aviation XL Account

    Aggregates Retrocessions Impact of KRW Appendix Appendix Specialty protections PROTECTION OF AVIATION XL ACCOUNT in m. USD 248 250 200 179 150 100 87 50 41 41 31 29 13 0 500 1,000 2,000 3,000 Market loss Clashing aggregates gross Net loss after protections ® hannover re VI

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