RMS Performs Risk Analysis for U.S. Earthquake Casualty Catastrophe Bond
Newark, Calif. -
September 14, 2011 -
Risk Management Solutions (RMS) has completed the expert modeling analysis in connection with the securities offering undertaken by Golden State Re Ltd., a special purpose reinsurance company domiciled in Bermuda. The securities offering is intended to finance a separate reinsurance transaction providing $200 million of collateralized coverage against U.S. earthquake casualty over three years for the State Compensation Insurance Fund, and is the first of its kind to cover workers compensation.
The trigger for the reinsurance arrangement is based on modeled notional losses calculated by RMS using ground motion data from the U.S. Geologic Survey. To manage the temporal variability inherent in workers compensation risks, RMS will use earthquake time-of-day to estimate the exposed population of workers.
"The use of a modeled loss trigger with a time-of-day component illustrates how a relatively complex risk, like earthquake casualty, can be transferred transparently and efficiently to the capital markets," commented Peter Nakada managing director of RiskMarkets, RMS' dedicated insurance-linked securities (ILS) team. "We're excited to have the RMS® U.S. Earthquake Casualty Model used in this innovative transaction, and to have helped bring the deal to market."