Catastrophe Risk Tolerance Study - Aon...

Prepared by Aon Benfield Analytics

Catastrophe Risk Tolerance Study

Public Disclosures by Sector As of Year End 2016

1 Aon Benfield | Analytics | Rating Agency Advisory

Contents

Section 1 Overview and Key Findings

Section 2 Analysis of Disclosure Data

Section 3 Risk Tolerance Metrics Disclosure

Section 4 Risk Tolerance Summary


Section 1: Overview and Key Findings


Catastrophe Risk Tolerance Study Overview

Composition: 101 Different Reinsurers/Insurers Global Reinsurers/Insurers

82% of the industry disclosed some type of information relating to catastrophe risk tolerance, same as year-end 2015. The percentage of "primary" source disclosures increased to 69%:

Note: The following company was part of the 2015 study but is not included in the 2016 study due to a merger or acquisition – MS Amlin Plc.

* Based off of the 2016 population to have a common denominator base. The population excludes sectors such as Medical Professional Liability, Life & Health, Financial / Mortgage Guaranty and Title companies

Percentage reporting peaked in years 2011 and 2012, since then it has been in a declining trend due to M&A activity from companies that previously had disclosures available

Data Sources 2015 2016 2015 2016Primary 69 70 68% 69%

10K Reports 37 38 36% 38%Annual Reports 28 29 27% 29%Investor / Analyst Presentations 4 3 4% 3%

Secondary 15 13 15% 13%A.M. Best Reports 15 13 15% 13%S&P Reports 0 0 0% 0%

Not Disclosed 18 18 18% 18%Totals 102 101 100% 100%

89%

85%

90% 90%88%

84%82% 82%

70%

75%

80%

85%

90%

95%

100%

2009 2010 2011 2012 2013 2014 2015 2016

Percent Reporting *


PML Figure (Net) 44% 21 23 0 44

As Part of Reinsurance Discussion 31% 3 26 2 31

Other Disclosure Type 8% 1 6 1 8

Undetermined / Not Disclosed 18% 0 0 18 18

Totals 100% 25 55 21 101

Count Disclosure Type Percentage Disclosed as Target

Disclosed as Actual

Undetermined/Not Disclosed

Approximately 82% of companies disclose risk tolerance or related information, of which more than half use PML figures:

Disclosures varied by sector with Commercial Lines and Reinsurance companies using net PML most often, while reinsurance structure was the most common form of disclosure for Personal Lines carriers

Aon Benfield’s post-Katrina risk tolerance study indicates that a catastrophe event can range from 3 – 6% of equity for primary companies and 12 -19% of equity for reinsurers before impacting stock price by more than 10%

– The average 100yr PML risk tolerance disclosure for primary and reinsurance companies is in-line with Aon Benfield’s post-Katrina study

Majority of companies with “Strong” and “Adequate” S&P ERM ratings disclose net PML as their risk tolerance measures; whereas companies with no S&P ERM rating are more inclined towards a Reinsurance structure disclosure

Key Findings of Catastrophe Risk Tolerance Study


Typical CRO/CFO Risk Tolerance Questions – What proportion of one years earnings can be lost in a single event without an adverse stock

price reaction? – What proportion of GAAP equity?

Post-event share price decline best predicted by reported Katrina losses alone, rather than Katrina, Rita and Wilma losses combined

– Indicates a greater sensitivity to a single large loss than an aggregation of events

Reinsurers/Insurers losing less than 10% of shareholder value had Katrina losses in the following ranges, which are consistent with recent PML public disclosures:

The average 100-year PML risk tolerance disclosure for primary and reinsurance companies is in-line with Aon Benfield’s post-Katrina study

Event-Level Risk Tolerance: Post Katrina

* Shown on a net post-tax basis

Sector As % of Equity As % of Prospective Consensus Earnings 2014 2015 2016

Primary Insurers 3% to 6% 21% to 34% 4% 4% 4%

Reinsurers 12% to 19% 107% to 110% 13% 10% 10%

Katrina Study Loss % Ranges* YE 1:100 PML Disclosure Mean As a % of Equity*


Catastrophe Risk Tolerance Disclosure Trend Analysis Sample Composite PML Target Ranges Post Tax Detail

Note: The composite for 2016 consists of approximately 32 companies across all sectors where definitive PML targets or actuals were disclosed. There were 30 companies in the 2015 composite, and 30 companies in the 2014 composite. Where companies reported an actual instead of a target we assumed the actual was their target. Due to a limited dataset, results should be used for informational purposes only. An assumed effective 35% tax rate for insurers and 15% tax rate for reinsurers was used by Aon Benfield as needed for level setting since some firms disclosed pre-tax and others post-tax.

Post Tax Net PML as a Percent of Equity: Insurers

Post Tax Net PML as a Percent of Equity: Reinsurers

1 in 100 Yr 1 in 250 Yr

Count Median Max Count Median Max

2016 18 6% 23% 17 9% 26%

2015 17 6% 29% 16 10% 21%

2014 14 5% 17% 15 8% 26%

1 in 100 Yr 1 in 250 Yr

Count Median Max Count Median Max

2016 5 10% 18% 7 13% 25%

2015 6 9% 18% 7 11% 25%

2014 7 14% 18% 7 16% 25%


PML disclosures varied by sector with Specialty Lines, Commercial lines and Reinsurance companies disclosing more net PML numbers whereas Personal lines is disclosing mostly 100-yr net PML numbers only

Companies disclosing 100-yr and 250-yr net PML

2%

4%

1%2%

6%

10%

3%

8%

3%

7%

2%

10% 10%

3%

8%

16%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

AIG CB CINF FFH HIG SIGI TLX TRV XL

Commercial

1:100 Post-Tax PML/SHE 1:200 Post-Tax PML/SHE 1:250 Post-Tax PML/SHE

6%5% 5%

11%

21%

3%

23%

1% 1%

26%

0%

5%

10%

15%

20%

25%

30%

AV/ LN ALL DL NA FNHC HCI HRTG MCY SAFT UIHC UVE

Personal


18%

7%10%

7%

16%16%

12%10%

12%

25%

21%

13%10%

3%

22%

0%0%

5%

10%

15%

20%

25%

30%

AHL AXS RE HNRI:GR MHLD MUV2:GY SCR.PA SREN VR WTM

Reinsurance


5%

7% 7%

5%

7%

2.1%

7%

9%

16%18%

9%

12%

8%

6%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Y AWH ACGL BEZ LN ENH HSX LN LRE LN OB RLI

Specialty



Section 2: Analysis of Disclosure Data


Catastrophe Risk Tolerance Disclosure Distribution by Sector

Disclosures varied by sector with Commercial Lines and Reinsurance companies using net PML most often, while reinsurance structure was the most common form of disclosure for Personal Lines carriers

45%

20%

25%

10%

Commercial Lines Sector

41%

48%

10%

Personal Lines Sector

33%

33%

3%

31%

Specialty Lines Sector

69%

6%

13%

13%

Reinsurance Sector


6 7

14

6

13

17

5

02468

101214161820

Commercial Personal Specialty Reinsurance

# C

ompa

nies

Aggregate Occurrence

6 7 64

3

5 67

0

2

4

6

8

10

12

14

Commercial Personal Specialty Reinsurance

# C

ompa

nies

Actual Target

Risk Metrics Disclosures Actual vs. Target PML Aggregate vs. Occurrence

All Peril vs. Regional PML Commercial, Personal lines carriers are more inclined towards Actual PML, Reinsurance companies are inclined towards Target PML disclosure and Specialty lines are evenly distributed

Personal lines, Specialty lines companies predominantly report on an Occurrence basis, while Commercial line and Reinsurance companies are more evenly spread

Actual PMLs are more concentrated towards Specific Peril Regional disclosures while Target PMLs are featured in more All Peril All Regions disclosures

Note: Includes companies reporting reinsurance structure

2 2

14

51

11

7

2

0

5

10

15

20

25

All PerilsRegional

All PerilsAll Regions

Specific PerilRegional

Specific PerilAll Regions

# C

ompa

nies

Actual Target


S&P ERM Evaluations and Catastrophe Risk Tolerance Disclosures

Majority of companies with “Strong” and “Adequate” S&P ERM ratings disclose net PML as their risk tolerance measures; whereas companies with no S&P ERM rating are more inclined towards a Reinsurance structure disclosure

Notes: S&P ERM Evaluations are as of 5/20/2017 ** SRC = Strong Risk Controls

Distribution of S&P ERM Evaluations (101 companies)

Catastrophe Risk Tolerance Disclosures by S&P ERM Evaluation

10%

20%

16%

20%

1%

34% Very Strong

Strong

Adequate (SRC)**

Adequate

Weak

No ERM Rating


Section 3: Risk Tolerance Disclosures


Catastrophe Risk Tolerance Public Disclosure P&C Commercial Lines Sector

Company 100 Yr 200 Yr 250 YrOther

RPs (List)

Risk Quantification

MetricPre- or

Post-TaxActual/ Target

Aggregate/ Occurrence S&P ERM Rating

Allianz Group Other Very strongAmerican International Group, Inc. Net PML Post-Tax Actual Occurrence AdequateChubb Limited Net PML Pre-Tax Actual Strong

Cincinnati Financial Corporation 50-yr, 500-yr

Net PML Actual Aggregate Adequate

CNA Financial Corporation Not specified

Net PML Target Aggregate Adequate (SRC)

Direct Line Insurance Group Plc Reinsurance

StructureActual Occurrence No ERM Rating

Fairfax Financial Holdings Limited Net PML Pre-Tax Target Aggregate Adequate

FM Global Reinsurance Structure

Actual No ERM Rating

Hartford Financial Services Group, Inc. Net PML Pre-Tax Target Aggregate Strong

Metric Disclosures



RPs (List)

Risk Quantification

MetricPre- or



Liberty Mutual Holding Company Inc. None Strong

MS&AD Insurance Group Holdings, Inc. Other Actual Adequate (SRC)

Old Republic International Corporation None Adequate

QBE Insurance Group Limited Reinsurance Structure

Actual Aggregate Strong

Selective Insurance Group, Inc.

25-yr, 50-yr,

150-yr, 500-yr

Net PML Post-Tax Actual Occurrence Adequate (SRC)

Sompo Japan Nipponkoa Holdings, Inc. Other Actual Adequate (SRC)

Talanx AG Net PML Actual Occurrence StrongTokio Marine Holdings, Inc. Other Actual Strong

Travelers Companies, Inc. 50-yr,

1000-yrNet PML Post-Tax Actual Occurrence Very Strong

XL Group Plc Other Pre-Tax Actual Occurrence Strong

Zurich Insurance Group Ltd. Reinsurance Structure

Actual Aggregate Very Strong

Metric Disclosures



Catastrophe Risk Tolerance Public Disclosure P&C Personal Lines Sector


RPs (List)

Risk Quantification

MetricPre- or



The Allstate Corporation Net PML Pre-Tax Target Aggregate Strong

Assicurazioni Generali SpA Reinsurance Structure

Adequate (SRC)

Aviva Plc Net PML Target Both Strong

AXA SA None Adequate (SRC)

Delta Lloyd NV Net PML Actual Occurrence Adequate (SRC)

Donegal Group Inc. Reinsurance Structure

Actual Aggregate No ERM Rating

Echelon Financial Holdings Inc. Reinsurance Structure

Actual Occurrence No ERM Rating

Erie Indemnity Company None No ERM RatingFederated National Holding Company Net PML Target Aggregate No ERM Rating

Hanover Insurance Group, Inc. Reinsurance Structure

Actual Occurrence Adequate (SRC)

HCI Group Inc.

260-yr, 253-yr, 165-yr, 50-yr

Net PML Actual Occurrence No ERM Rating

Metric Disclosures



RPs (List)

Risk Quantification

MetricPre- or



Heritage Insurance Holdings, Inc. Net PML Post-Tax Actual Occurrence No ERM Rating

Hilltop Holdings Inc. Reinsurance Structure


Horace Mann Educators Corporation Reinsurance Structure

Actual Occurrence Adequate

Infinity Property and Casualty Corporation Reinsurance Structure

Actual Adequate

Insurance Australia Group Limited Reinsurance Structure

Target Occurrence Strong

Intact Financial Corporation Reinsurance Structure

Actual Aggregate No ERM Rating

Kemper Corporation Reinsurance Structure

Actual Aggregate Adequate

Kingstone Insurance Company Reinsurance

StructureTarget Occurrence No ERM Rating

MAPFRE SA None Adequate (SRC)

Metric Disclosures




RPs (List)

Risk Quantification

MetricPre- or



Mercury General Corporation Net PML Post-Tax Actual Occurrence Adequate

National General Holdings Corporation Reinsurance Structure


Progressive Corporation Net PML Post-Tax Actual Aggregate Strong

Royal & Sun Alliance Insurance Plc Reinsurance Structure

Target Very Strong

Safety Insurance Group, Inc. Net PML Post-Tax Actual Aggregate No ERM Rating

State Auto Financial Corporation Reinsurance Structure


United Insurance Holdings Corp. 50-yr Net PML Actual Occurrence No ERM RatingUniversal Insurance Holdings, Inc. Net PML Post-Tax Target Occurrence No ERM Rating

Vienna Insurance Group AG Net PML Target Occurrence Adequate (SRC)

Metric Disclosures



Catastrophe Risk Tolerance Public Disclosure P&C Specialty Lines Sector


RPs (List)

Risk Quantification

MetricPre- or



Alleghany Corporation Net PML Post-Tax Actual Occurrence AdequateAllied World Assurance Company Holdings, AG

Net PML Pre-Tax Target Occurrence Strong

American Financial Group, Inc. 500-yr Net PML Actual Occurrence Adequate (SRC)

Amerisafe, Inc. None No ERM Rating

Amtrust Financial Services, Inc. Reinsurance Structure


ARCH Capital Group, Ltd. Net PML Pre-Tax Target Occurrence StrongArgo Group International Holdings, Ltd. None Adequate

Assurant, Inc. Reinsurance Structure


Aviabel S.A. None AdequateBaldwin & Lyons, Inc. None No ERM RatingBeazley Plc Net PML Pre-Tax Target Occurrence StrongCV Starr None No ERM Rating

EMC Insurance Group Inc. Reinsurance Structure


Employers Holdings, Inc. Reinsurance Structure


Metric Disclosures



RPs (List)

Risk Quantification

MetricPre- or



Endurance Specialty Holdings Ltd. 10-yr, 25 yr, 50-yr

Net PML Target Aggregate Strong

First Acceptance Corporation Reinsurance Structure


Fuji Fire and Marine Insurance Company, Limited

None No ERM Rating

Global Indemnity Plc Reinsurance Structure


Hallmark Financial Services, Inc. None No ERM Rating

Hiscox Limited 80-yr,

110-yr, 240-yr


James River Group Holdings, Ltd. 1000-yr Net PML Pre-Tax Target No ERM RatingKingsway Financial Services Inc. None WeakLancashire Holdings Limited Net PML Pre-Tax Actual Occurrence Strong

Markel Corporation None Adequate (SRC)

Metric Disclosures





RPs (List)

Risk Quantification

MetricPre- or



National Interstate Corporation Reinsurance Structure


Navigators Group, Inc. Not specified

Net PML Pre-Tax Actual Occurrence Adequate

Novae Group Plc Other Actual Occurrence No ERM RatingOneBeacon Insurance Group, Ltd. Net PML Actual Occurrence Adequate

RLI Corp. Net PML Actual Both Adequate (SRC)

Sampo Plc Reinsurance Structure

Actual Occurrence Adequate (SRC)

State National Companies Inc. None No ERM Rating

Suncorp Group Limited Reinsurance Structure

Both Actual Occurrence Adequate (SRC)

Topdanmark A/S Reinsurance Structure


Unico American Corporation None No ERM Rating

United Fire Group, Inc. Reinsurance Structure


W. R. Berkley Corporation Reinsurance Structure

Actual Adequate (SRC)

Metric Disclosures


Catastrophe Risk Tolerance Public Disclosure P&C Reinsurance Sector


RPs (List)

Risk Quantification

MetricPre- or



Asia Capital Reinsurance Group Pte. Ltd. 1 in 1000 yr

Net PML Target Occurrence Adequate

Aspen Insurance Holdings Limited Net PML Post-Tax Actual Both Very StrongAXIS Capital Holdings Limited 50-yr Net PML Target Both StrongBerkshire Hathaway Inc. Other Target Aggregate Adequate

China Reinsurance (Group) Corporation Reinsurance Structure

Adequate

Everest Re Group, Ltd.

20-yr, 50-yr, 500-

yr, 1000-yr


Greenlight Capital Re, Ltd. Other Actual Aggregate No ERM RatingHannover Rück SE Net PML Pre-Tax Target Aggregate Very StrongMaiden Holdings, Ltd. Net PML Target Both Adequate

Metric Disclosures




RPs (List)

Risk Quantification

MetricPre- or



Münchener Rückversicherungs-Gesellschaft AG

Net PML Actual Occurrence Very Strong

RenaissanceRe Holdings Ltd. None Very StrongSCOR SE Net PML Pre-Tax Target Occurrence Very StrongSwiss Re Limited Net PML Pre-Tax Actual Occurrence Very StrongThird Point Reinsurance Ltd. None No ERM Rating

Validus Holdings, Ltd. 20-yr, 50-

yrNet PML Target Both Strong

White Mountains Insurance Group, Ltd. Net PML Pre-Tax Actual Aggregate Adequate

Metric Disclosures


Section 4: Risk Tolerance Summary



Information in red is disclosed on a post-tax basis

Actual/ Target 1:100 1:200 1:250 Summary Source Date

Allianz Group N/A - - -The top five perils contributing to the natural catastrophe risk as of 31 December 2016 were: a windstorm in Europe, a flood in Germany, a hurricane in the U.S., a hailstorm in Germany, and an earthquake in Australia.

Allianz Group 2016 Annual Report, Risk Management Section, Page 73

12/31/2016

American International Group, Inc. Actual 1.7% - 2.9%

For 100-year return period scenario, Occurrence Exceedance Probability (OEP) losses are $1.276B (net of 2017 reinsurance, after tax) (1.7% of total equity) for US Hurricane and $0.418B (0.5% of Total Equity) for Japanese Wind. For 250-year return period scenario, Occurrence Exceedance Probability (OEP) losses are $2.225B (net of 2017 reinsurance, after tax) (2.9% of total equity) for US Earthquake and $0.465B (0.6% of Total Equity) for Japanese Earthquake.

American International Group 2016 10-K Filing, Natural Catastrophe Risk section, Page 157

12/31/2016

Chubb Limited Actual 6.4% - 10.8%

Their modeled annual aggregate pre-tax probable maximum loss (PML), net of reinsurance, for 100-year return period for U.S. hurricane and California earthquake at December 31, 2016 is 6.4% and 3.1% of their total shareholders' equity, respectively. And for 250-year return period for U.S. hurricane and California earthquake at December 31, 2016, PML is 10.8% and 4.1% of their total shareholders' equity, respectively.

Chubb limited 2016 10-K Filing, Catastrophe Management Section, Page 83

12/31/2016

Cincinnati Financial Corporation Actual 1.1% - 3.3%

We use the Risk Management Solutions (RMS) and Applied Insurance Research (AIR) models to evaluate exposures to a once-in-a-100-year and a once-in-a-250- year event to help determine appropriate reinsurance coverage programs. In conjunction with these activities, we also continue to evaluate information provided by our reinsurance broker. These various sources explore and analyze credible scientific evidence, including the impact of global climate change, which may affect our exposure under insurance policies. (Net PML for 1:100 Year, 1:250 Year and 1:500 based upon RMS is 1.1%, 3.3% and 6.4% of total equity and based upon AIR is 1.1%, 1.9% and 3.6% of total equity)

Cincinnati Financial Corp 2016 10-K Filing, Reinsurance Programs section, Page 101

12/31/2016

CNA Financial Corporation Target - - -CNA's net catastrophe leverage as depicted in a probable maximum loss (PML) analysis is less than 5% of surplus.

CNA Insurance Companies AM Best Report #18313 (03/11/2016), Risk Management Section

3/11/2016

Direct Line Insurance Group Plc Actual - - -

Catastrophe reinsurance to protect against an accumulation of claims arising from a natural peril event. The retained deductible is at £150 million, and cover is purchased annually on 1 July, up to a modelled one-in-200 year loss event of £1,250 million (2015: £1,350 million). (Shareholders Equity as of 12/31/2016 is £2,521.5 million)

Direct Line Insurance Group Plc 2016 Annual report , Reinsurance section, Page 43

12/31/2016

Fairfax Financial Holdings Limited Target - - 15.0%

Currently the company's objective is to limit its company-wide catastrophe loss exposure such that one year's aggregate pre-tax net catastrophe losses would not exceed one year's normalized net earnings before income taxes. The company takes a long term view and generally considers a 15% return on common shareholders' equity, adjusted to a pre-tax basis, to be representative of one year's normalized net earnings. The modeled probability of aggregate catastrophe losses in any one year exceeding this amount is generally more than once in every 250 years.

Fairfax Financial 2016 Annual Report, Catastrophe Risk section, Page 90

12/31/2016

Company

Disclosed Risk Tolerance




FM Global Actual - - -

The group maintains excess-of-loss protection of $1,180 million excess of its $300 million per-risk retention and $1,150 million excess of its $550 million per-catastrophe retention.

FM Global Group AM Best Report #18502, Reinsurance Section, Page 22

1/18/2017

Hartford Financial Services Group, Inc. Target - - 15.0%

The estimated pre-tax loss for a 1 in 250 single event net of reinsurance is less than 15% of statutory surplus of the P&C operations. The estimated 250 year pre-tax probable maximum loss from earthquake events is estimated to be $930 before reinsurance and $533 net of reinsurance. The estimated 250 year pre-tax probable maximum losses from hurricane events are estimated to be $1.6 billion and $836, before and after reinsurance, respectively. (Stockholders Equity as of 12/31/2016 is $16,903 mn)

Hartford 2016 10-K Filing, Natural catastrophe risk section , Page 87

12/31/2016

Liberty Mutual Holding Company Inc. N/A - - - No risk tolerance metrics indicated N/A N/A

MS&AD Insurance Group Holdings, Inc. Actual - - -

As of 3/31/2017, MS has catastrophe reserves of JPY 536.7B and AD has catastrophe reserves of JPY 318.7B. MS has catastrophe risk of JPY 120B and AD has catastrophe risk of JPY 53.6B.As of 11/25/2016, MS&AD's risk amounted to JPY 2.61 Tn calculated as 99.5% VaR.

MS&AD 2017 Supplement Report, page 21,25MS&AD: FY2016 Second Information Meeting, page 32

3/31/201711/25/2016

Old Republic International Corporation N/A - - - No risk tolerance metrics indicated N/A N/A

QBE Insurance Group Limited Actual - - -The Group limits its exposure to an individual catastrophe or an accumulation of claims by reinsuring a portion of risks underwritten. This allows the Group to control exposure to insurance losses, reduce volatility of reported results and protect capital.

QBE Insurance Group 2016 Annual Report, Risk Management Section, Page139

12/31/2016

Selective Insurance Group, Inc. Actual 2.0% 3.0% 3.0%

Our current catastrophe reinsurance program exhausts at a 1 in 265 year return period, or events with 0.38% probability, based on a multi-model view of hurricane risk. 2.0% of equity after tax for 1:100 year event (OEP: 1%); 3% of equity after tax for 1:200 year event (OPE: 0.5%); 3% of equity after-tax for 1:250 year event (OEP: 0.4%)The Property Catastrophe treaty structure provides coverage of $685 million in excess of $40 million and the annual aggregate limit net of our co-participation continues to be approximately $1.0 billion for 2017.

Selective Insurance Group 2016 10-K Filing, page 59 & 60

12/31/2016

Company






Sompo Japan Nipponkoa Holdings, Inc. Actual - - -

As of 3/31/2017, SOMPO Holdings has catastrophe reserves of JPY 572.9B and major catastrophe risk of JPY 117.95B.As of 12/31/2016, SOMPO Holdings's risk amounted to JPY 1.9 Tn calculated as 99.95% VaR.

Summary of Consolidated Financial Results for the fiscal year ended March 31, 2017 page 11

3/31/2017

Talanx AG Actual - 12.8% -

The estimates for the 200-year net loss burdens for the Group are as follows: Atlantic HU - EUR 1,878M; US EQ - EUR 1,489M; EU WS - EUR 1,134M; JP EQ - EUR 854M; Asia Pacific EQ - EUR 886M; Central and South-American EQ - EUR 1,014M; EU EQ- EUR 1,034M.(Total Shareholders Equity as of 12/31/2015 is EUR 14,688M)

Talanx Group 2016 Annual Report, Reserving Risk - Concentration risk Section, Page 103

12/31/2016

Tokio Marine Holdings, Inc. Actual - - -

As of 3/31/2017, Tokio Marine & Nichido Fire has catastrophe reserve of JPY 1084.3 Bn, Nisshin Fire & Marine Insurance has major catastrophe reserve of JPY 61 Bn and Tokio Marine & Nichido Fire has catastrophe risk of JPY 158.6 Bn, Nisshin Fire & Marine Insurance has major catastrophe risk of JPY 5.8 BnAs of 9/30/2016, Tokio Marine Group's risk amounted to JPY 2.6 Tn calculated as 99.95% VaR.

Tokio Marine Information about major subsidiaries 2016, page 12,18Tokio Marine Group FY2016 Business Plan Update, page 15

3/31/20179/30/2016

Travelers Companies, Inc. Actual 6.0% - 8.0% Net, after-tax single U.S. hurricane 1:100 is 6% and 1:250 is 8% while Net, after tax single U.S. and Canadian EQ 1:100 is 3% and 1:250 is 4%

Travelers 2016 10-K Filing, Catastrophe Modeling Section, Page 108

12/31/2016

XL Group Plc Actual 15.4% - 24.6%

Per event 1% TVaR underwriting limits for North Atlantic Windstorm are set at a level not to exceed approximately 25% of Adjusted Tangible Capital. Per event 1% TVaR underwriting limits for North American Earthquake are set at a level not to exceed approximately 20% of Adjusted Tangible Capital. PML per event net 1% exceedance probability exposure for North Atlantic Windstorm is 15.4%, North America Earthquake is 8.9%, Europe Windstorm is 6.7%, Japan Earthquake is 6.4% and Japan Windstorm is 4.8% of Tangible Shareholders' Equity. PML per event net 0.4% exceedance probability exposure for North Atlantic Windstorm is 24.6%, North America Earthquake is 16.7%, Europe Windstorm is 8.1%, Japan Earthquake is 8.6% and Japan Windstorm is 6% of Tangible Shareholders' Equity.

XL 2016 10-K Filing, Risk Management Section, Page 16 & 68

12/31/2016

Zurich Insurance Group Ltd. Actual - - - All natural catastrophe losses in excess of the franchise deductible of USD 25 million. Reinsurance kicks with a cap at USD 1,250M.

Zurich Financial Services 2016 Annual Report, Risk Review Section, Page 132

12/31/2016

Company





The Allstate Corporation Target 9.7% - -

As of December 31, 2016, we have less than a 1% likelihood of exceeding average annual aggregate catastrophe losses by $2 billion, net of reinsurance, from hurricanes and earthquakes, based on modeled assumptions and applications currently available. The use of different assumptions and updates to industry models, and updates to our risk transfer program, could materially change the projected loss. Our growth strategies include areas previously restricted where we believe we can enhance diversification and earn an appropriate return for the risk and as a result our exposure may increase, but in aggregate remain lower than $2 billion as noted above. In addition, we have exposure to severe weather events which impact catastrophe losses. (Shareholders Equity as of 12/31/2016 is $20.57 bn)

Allstate Corp 2016 10-K Filing, page 35 12/31/2016

Assicurazioni Generali SpA N/A - - -

For assessing its catastrophe exposure and cover needs, Generali uses an internal model together with third-party independent models, such as RMS, EQECAT and AIR. The largest cat exposure refers to an earthquake in Italy; the other major cat exposures refer to a European windstorm, a European flood, and a flood in Italy.

Assicurazioni Generali S.P.A. AM Best Report A.M. Best # 085071

11/23/2016

Aviva Plc Target - 1.0% -

The Group cedes much of its worldwide catastrophe risk to third-party reinsurers through excess of loss and aggregate excess of loss structures. The Group purchases a group-wide catastrophe reinsurance programme to protect against catastrophe losses exceeding a 1 in 200 year return period. The total Group potential retained loss from its most concentrated catastrophe exposure peril (Northern Europe Windstorm) is approximately £150 million on a per occurrence basis and £175 million on an annual aggregate basis. Any losses above these levels are covered by the group-wide catastrophe reinsurance programme to a level in excess of a 1 in 200 year return period. (Shareholders Equity as of 12/31/2016 is £17,003 million)

Aviva PLC 2016 Annual Report, Risk Management Section, Page 247

12/31/2016

AXA SA N/A - - - No risk tolerance metrics indicated N/A N/A

Delta Lloyd NV Actual - 1.2% -

The main natural catastrophe threatening the Netherlands is storms causing severe wind damage. Delta Lloyd’s cumulative risk (maximum possible loss) resulting from natural disasters (particularly storms) is identified using postal codes. Delta Lloyd purchased a reinsurance contract offering protection against an one-in-200 year storm based on the RMS catastrophe model for both Delta Lloyd Schadeverzekeringen and ABN AMBRO Schadeverzekeringen. The catastrophe reinsurance contract for 2016 provides a cover of € 560.0 million above the retention limit of € 40.0 million, hence covering a storm loss up to € 600.0 million, compared with a cover of € 400.0 million above the retention limit of € 40.0 million for 2015. For a second catastrophe the retention limit is lowered to € 20.0 million by means of a special reinsurance contract. (Shareholders Equity as of 12/31/2016 is € 3,402.5 million)

Delta Lloyd 2016 Annual report , General Insurance section, Page 145

12/31/2016

Donegal Group Inc. Actual - - -Our insurance subsidiaries and Donegal Mutual have property catastrophe coverage through a series of layered treaties up to aggregate losses of $175.0 million for any single event.

Donegal Insurance Group 2016 10-K Filing, Reinsurance - Unaffiliated Reinsurer Section, Page 85

12/31/2016

Company





Echelon Financial Holdings Inc. Actual - - -

During 2016, the Company followed the policy of underwriting and reinsuring contracts of insurance, which limits the net exposure of the Company to a maximum amount on any one loss to $2,000 (2015 – $1,500). In addition, the Company obtained catastrophe reinsurance which limits the loss from a series of claims arising from a single occurrence to $2,000 (2015 – $2,000), to a maximum coverage of $58,000 (2015 – $35,000).

EGI Financial Holdings Inc. 2016 Annual report ,Underwriting Policy & Reinsurance Ceded section, Page 52

12/31/2016

Erie Indemnity Company N/A - - - No risk tolerance metrics indicated N/A N/A

Federated National Holding Company Target 7.8% - -

FNIC’s 2015-2016 catastrophe reinsurance program, which ran either from June 1 to May 31 or from July 1 to June 30, consists of the Florida Hurricane Catastrophe Fund (“FHCF”), excess of loss treaties placed with the private market and a 40% property quota-share program. The property quota-share reinsurance is a form of proportional reinsurance that provides coverage for the homeowners’ property lines for wind related catastrophes in Florida. The FHCF treaty affords coverage for losses sustained in Florida and represents only a portion of the reinsurance coverage in Florida. FNIC’s single event pre-tax retention for a catastrophic event in Florida is $18.45 million. In addition, FNIC purchases separate underlying reinsurance layers in Louisiana, Alabama, and South Carolina to cover losses and LAE outside of Florida for each catastrophic event from $8.0 million to $18.45 million. Depending on the characteristics of the catastrophic event, and the states involved, FNIC’s single event pre-tax retention could be as low as $8.0 million. The maximum pre-tax retention of $18.45 million for Florida represents 7.76% of the Company’s shareholders’ equity as of December 31, 2016.Our reinsurance coverage contemplates the effects of a catastrophic event that occurs only once every 100 years. (Stockholders Equity as of 12/31/2016 is $237.9 mn)

Federated National Holdings Company 2016 10-K Filing, Reinsurance Agreement Section, Page 6&7 & Risk Factors Section, Page12

12/31/2016

Hanover Insurance Group, Inc. Actual - - -The property catastrophe occurrence treaty provides coverage, on an occurrence basis, up to $1.1 billion countrywide, less a $200 million retention, with no co-participation, for all defined perils.

Hanover Insurance Group 2016 10-K Filing, page 16 12/31/2016

HCI Group Inc. Actual 8.2% - -

Our reinsurance program for 2016/17 provides coverage, which according to catastrophe models approved by the FLOIR, is sufficient to cover the probable maximum loss resulting from a 1 in 165 year event. Our reinsurance program for 2015/16 provided coverage for a probable maximum loss resulting from a 1 in 260 year event. As a result of our program and pricing changes, we expect our reinsurance costs for the 2016/17 program year to be approximately $48,000,000 below the cost for 2015/16. (Stockholders Equity as of 12/31/2016 is $243.7 mn)2016-2017 Reinsurance Program provides 1st event cover for RMS v13.1 Long-Term Hurricane, with Loss Amplification, excluding Storm Surge, without Secondary Uncertainty with $16M Retention, exhaustion of $1,241M and limit of $1,225M ($1,241-$16M). They also have limits for different events of 1 in 253 year event ($1,241M), 1 in 165 year event ($972M), 1 in 100 year event ($689M), 1 in 50 year event ($392M). They provide 2nd event cover for Florida Hurricane Catastrophe Fund (FHCF).

HCI Group Inc. 2016 10-K Filing, Results of Operations section, Page 39, and Investor Presentation March 2017, 2016-2017 Reinsurance Program Section, Page 13

12/31/2016

Company





Heritage Insurance Holdings, Inc. Actual 11.3% - -

Our reinsurance programs for each of the twelve months beginning June 1, 2015 and 2016 provides reinsurance in excess of regulatory requirements, which are based on the probable maximum loss that we would incur from an individual catastrophic event estimated to occur once every 100 years based on our portfolio of insured risks. The 2004 calendar year, in which four large catastrophic hurricanes made landfall in Florida, is considered to be the worst catastrophic year in Florida’s recorded history. Assuming the reoccurrence of the 2004 calendar year event s, the probable after tax net loss to us in 2016, based on the coverage for our 2016-2017 reinsurance program, would be $40.3 million (after tax, net of all reinsurance recoveries and including our retention through Osprey). This loss would have represente d 11.3% of our stockholders’ equity at December 31, 2016.

Heritage Insurance Holdings Inc. 2016 10-K Filing, Products and distribution Section, Page 5 & 6

12/31/2016

Hilltop Holdings Inc. Actual - - -

Effective July 1, 2015, NLC renewed its catastrophic excess of loss reinsurance coverage for a two year period. At December 31, 2016, NLC had catastrophic excess of loss reinsurance coverage of losses per event in excess of $8 million retention by NLIC and $1.5 million retention by ASIC. ASIC maintained an underlying layer of coverage, providing $6.5 million in excess of its $1.5 million retention to bridge to the primary program. The reinsurance in excess of $8 million is comprised of four layers of protection: $17 million in excess of $8 million retention and/or loss; $25 million in excess of $25 million loss; $25 million in excess of $50 million loss and $50 million in excess of $75 million loss. NLIC and ASIC retain no participation in any of the layers, beyond the first $8 million and $1.5 million, respectively. At December 31, 2016, total retention for any one catastrophe that affects both NLIC and ASIC was limited to $8 million in the aggregate.

Hilltop Holdings Inc. 2016 10-K Filing, Page No 385 12/31/2016

Horace Mann Educators Corporation Actual - - -

For 2016,the Company’s catastrophe excess of loss coverage consisted of one contract in addition to a minimal amount of coverage by the Florida Hurricane Catastrophe Fund (“FHCF”). The catastrophe excess of loss contract provided 95% coverage for catastrophe losses above a retention of $25.0 million per occurrence up to $175.0 million per occurrence. This contract consisted of three layers, each of which provided for one mandatory reinstatement. The layers were $25.0 million excess of $25.0 million, $40.0 million excess of $50.0 million and $85.0 million excess of $90.0 million. For 2017, the Company’s catastrophe excess of loss coverage consists of one contract, and the contract has the same provisions as described for 2016. In Horace Mann's opinion, its geographic spread of exposures and its stringent underwriting guidelines and reinsurance program limit the potential gross and net probable maximum loss (PML) for a 100-year Atlantic Basin hurricane (the group's largest potential peril as depicted by PML analysis), to a manageable level.

Horace Mann 2016 10-K Filing, Property & Casualty Reinsurance Section, page 11; AM Best Report #4934 (Risk Management Section)

12/31/2016 (10K); 3/30/2016 (AMB)

Infinity Property and Casualty Corporation Actual - - -For 2014 and 2015 our catastrophe reinsurance protection was 100% of$55 million in excess of $5 million per event. For 2016 we have increased our catastrophe reinsurance protection to $95 million in excess of $5 million per event.

Infinity P&C corp 2016 10-K Filing, page 65 12/31/2016




Insurance Australia Group Limited Target - - -

The Group catastrophe cover which is placed in line with the strategy of buying to the level of a 1:250 year event on a modified whole of portfolio basis. IAG's catastrophe reinsurance protection runs to a calendar year and operates on an excess of loss basis, with the Group retaining the first $250 million ($200 million post-quota share) of each loss. It covers all territories in which IAG operates. The limit of catastrophe cover purchased was $7.0 billion placed to 80%. Should a loss event occur that is greater than $7.0 billion, the Group could potentially incur a net loss greater than the retention.In February 2016, IAG completed an innovative reinsurance transaction with BH that mitigates the Group’s exposure to the Canterbury earthquakes and asbestos related liabilities. The transaction comprises:ADC which provides NZ$600 million of protection above NZ$4.4 billion for the February 2011 Canterbury earthquake event; and a reinsurance arrangement in respect of IAG’s asbestos exposure.

Insurance Australia Group 2016 Annual Report, Reinsurance risk section, Page 57

12/31/2016

Intact Financial Corporation Actual - - -

We retain participations averaging 5.1% as at January 1, 2017 (December 31, 2016 – 5.3%) on reinsurance layers between the retention and coverage limits. The 2017 coverage limit will gradually increase from $3.5 billion to $3.6 billion during the year. The net after-tax impact of a catastrophe that would exhaust our coverage limits as at January 1, 2017 is estimated at 3.5% of our NEP for 2016 (January 1, 2016 – 3.6% of our NEP for 2015).

Intact Financial corp 2016 Annual Report, Reinsurance section,

12/31/2016

Kingstone Insurance Company Target - - -

In 2016, we purchased catastrophe reinsurance to provide coverage of up to $252,000,000 for losses associated with a single event. One of the most commonly used catastrophe forecasting models prepared for us indicates that the catastrophe reinsurance treaties provide coverage in excess of our estimated probable maximum loss associated with a single more than one-in-250 year storm event. The direct retention for any single catastrophe event is $5,000,000. Losses on personal lines policies are subject to the 40% quota share treaty, which results in a net retention by us of $3,000,000 of exposure per catastrophe occurrence. Effective July 1, 2016, we have reinstatement premium protection on the first $20,000,000 layer of catastrophe coverage in excess of $5,000,000. This protects us from having to pay an additional premium to reinstate catastrophe coverage for an event up to this level.

Kingstone Insurances 2016 10-K filing, Reinsurance Section, Page 14

12/31/2016

Kemper Corporation Actual - - -

The corporate property catastrophe reinsurance treaty for 2016 is unchanged from the prior year. The program covers $300,000,000 in excess of $50,000,000 in two layers with 95% co-participation on each layer. The first layer covers 95% of $100,000,000 in excess of $50,000,000 and the second layer covers 95% of $200,000,000 in excess of $150,000,000.

Kemper P&C Group AM Best Report #914, Reinsurance Section

7/29/2016

MAPFRE SA N/A - - - No risk tolerance metrics indicated N/A N/A

Company






Mercury General Corporation Actual - - 26.0%

The Company is party to a Catastrophe Reinsurance Treaty ("Treaty") covering a wide range of perils that is effective through June 30, 2017. The Treaty provides for $115 million of coverage on a per occurrence basis after covered catastrophe losses exceed a $100 million Company retention limit. The first $100 million of losses above the Company's $100 million retention are covered 100% by the reinsurers. Losses above $200 million are shared pro-rata with 5% coverage by the reinsurers and 95% retention by the Company, up to $15 million total coverage provided by the reinsurers. The treaty specifically excludes coverage for California earthquake losses on fixed property policies, such as homeowners, but does cover losses from fires following an earthquake. The Company has reinsurance for PIP claims in Michigan through the Michigan Catastrophic Claims Association, a private non-profit unincorporated association created by the Michigan Legislature. The reinsurance covers losses in excess of $545,000 per person and has no maximum limit. Michigan law provides for unlimited lifetime coverage for medical costs caused by automobile accidents. The Company ceased writing personal automobile insurance in Michigan in 2016. The Company carries a commercial umbrella reinsurance treaty and seeks facultative arrangements for large property risks.The group's after-tax net impact from a 250-year earthquake, as depicted in a probable maximum loss analysis, is approximately 26% of policyholder surplus.

Mercury 2016 10-K Filing, Reinsurance Section Page 10 & AM Best Report #18195, Reinsurance section

12/31/2016 (10K); 6/29/2016 (AMB)

National General Holdings Corporation Actual - - -

As of May 1, 2016, the Company’s new reinsurance property catastrophe excess of loss program went into effect protecting the Company against catastrophic events and other large losses. The property catastrophe program provides a total of $475,000 in coverage in excess of a $50,000 retention, with one reinstatement. Included in this coverage is a Florida Hurricane Catastrophic Fund (“FHCF”) cover of $52,200 in excess of $16,300 with no reinstatement. The casualty program provides $45,000 in coverage in excess of a $5,000 retention. The Company pays a premium as consideration for ceding the risk.

National General Holdings Corp Annual Report, Page 167 Reinsurance Section

12/31/2016

Progressive Corporation Actual - - -Based on the group's most recent catastrophe risk assessment, as depicted in a probable maximum loss (PML) analysis, the after-tax PML for a one in 100-year hurricane represents only a moderate impact to the group's surplus base.

Progressive Corp AM Best Report #18637, Risk Management section

7/11/2016

Royal & Sun Alliance Insurance Plc Target - - -Our reinsurance programme significantly reduces our exposure to catastrophe risks with losses arising from the 2016 Canadian wildfires being well covered by our programme. Programme is designed to cover at least 1 in 200 year events.

RSA Group 2016,Risk management, page 40 12/31/2016

Company






Safety Insurance Group, Inc. Actual 21.0% - -

A comprehensive catastrophe reinsurance program reduces the net after-tax probable maximum loss (PML) expected to arise from a 100-year hurricane event to approximately 21% of reported policyholders' surplus at year-end 2015. For 2017, we have purchased four layers of excess catastrophe reinsurance providing $615,000 of coverage for property losses in excess of $50,000 up to a maximum of $665,000. Our reinsurers’ co-participation is 65.0% of $100,000 for the 1st layer, 80.0% of $280,000 for the 2nd layer, 80.0% of $135,000 for the 3rd layer and 80% of $100,000 for the 4th layer. As a result of the changes to the models, and our revised reinsurance program, our catastrophe reinsurance in 2017 protects us in the event of a “130-year storm” (that is, a storm of a severity expected to occur once in a 130-year period).

Safety Group AM Best Report #18080 , Balance Sheet Strength Section ; Safety Insurance Group 2016 10-K Filing, Reinsurance Section, Page 14

12/31/2016 (10K); 5/12/2016 (AMB)

State Auto Financial Corporation Actual - - -

Under this reinsurance agreement (Catastrophe reinsurance agreement), State Auto Group retain the first $55.0 million of catastrophe loss, each occurrence, with a 5.0% co-participation on the next $285.0 million of covered loss, each occurrence. The reinsurers are responsible for 95.0% of the excess over $55.0 million up to $340.0 million of covered losses, each occurrence. Under this reinsurance agreement, the State Auto Group is responsible for losses above $340.0 million.The State Auto Group also maintains a separate property catastrophe excess of loss reinsurance agreement covering the specialty insurance segment's E&S property and programs units catastrophe related events affecting at least two risks. Under this reinsurance agreement, the State Auto Group retains the $30.0 million of catastrophe loss, each occurrence, with no co-participation on the next $25.0 million of covered loss, each occurrence.

State Auto Financial Corp. 2016 10-K Filing, Reinsurance Arrangements Section, page 60

12/31/2016

United Insurance Holdings Corp. Actual 4.1% - -

For the treaty year beginning June 1, 2016 and ending on May 31, 2017, UPC Insurance has obtained reinsurance protection of $1,515,197,000 excess $10,000,000, providing sufficient protection for a 1-in-100 year hurricane event and a second 1-in-50 year hurricane event in the same year as calculated using a blended model result predominately based on our licensed modeling software, AIR model version 17, using long-term event rates excluding demand surge. For a single first event hurricane or tropical storm, UPC Insurance will pay, or “retain”, 100% of losses up to $30,000,000 including the $20,000,000 layer funded by UPC Re. The catastrophe excess of loss reinsurance program provides our insurance subsidiaries 100% coverage for all losses in excess of $10,000,000 up to $1,415,197,000 for a first event and $1,515,197,000 for any number of subsequent events until all limit is exhausted. For the 2016 contract year, UPC Insurance has elected a 45% participation rate with the FHCF and purchased replacement coverage from private insurers for the remaining 45%. Of the $1,515,197,000 in excess of $10,000,000, we estimate the mandatory FHCF layer will provide approximately $354,015,000 (45% of $786,700,000) of aggregate coverage for losses in excess of $246,002,000. The private market FHCF replacement coverage provides another $346,182,000 of aggregate protection (45% of $769,293,000) in excess of $244,206,000 layer for Florida only on a fully collateralized basis that also inures to the benefit of all other private reinsurance coverage. (Stockholders Equity as of 12/31/2016 is $241.3mn)

United Insurance Holdings Corp 2016 10-K Filing, Reinsurance section, Page 79

12/31/2016

Company






Universal Insurance Holdings, Inc. Target 22.6% - -

Our 2016-2017 reinsurance program meets and provides reinsurance in excess of the FLOIR’s requirements, which are based on, among other things, the probable maximum loss that we would incur from an individual catastrophic event estimated to occur once in every 100 years based on our portfolio of insured risks and a series of stress test catastrophe loss scenarios based on past historical events.Assuming the reoccurrence of the 2004 calendar year events, including the same geographic path of each such hurricane, the modeled estimated net loss to us in 2016 with the reinsurance coverage described herein, would be approximately $84 million (after tax, net of all reinsurance recoveries), the same as it would have been in 2015. We estimate that, based on our portfolio of insured risks as of December 31, 2016 and 2015, a repeat of the four 2004 calendar year events would have exhausted approximately 25% and 18.4%, respectively, of our property catastrophe reinsurance coverage. UPCIC has a net retention of $35 million per catastrophe event for losses incurred up to a first event loss of $2.487 billion. UPCIC also purchases a separate underlying catastrophe program to further reduce its retention for all losses occurring in any state other than Florida (the “Other States Reinsurance Program”). UPCIC retains only $5 million under its Other States Reinsurance Program. These retention amounts are gross of any potential tax benefit we would receive in paying such losses. (Stockholders Equity as of 12/31/2016 is $371.1 mn)

Universal Insurance Holdings 2016 10-K Filing, UPICC's Reinsurance Program, Page 14

12/31/2016

Vienna Insurance Group AG Target - - -

It is Group-wide policy that no more than EUR 50 million for the first two natural disaster events and EUR 20 million for each additional event can be placed at risk on a PML (probable maximum loss) basis. The maximum Group-wide retention per individual loss is less than EUR 10 million.

VIG 2016 Annual Report, Reinsurance Section, Page 116

12/31/2016

Company






Alleghany Corporation Actual 5.0% - 7.0%

Florida, Wind” has the highest modeled after-tax net catastrophe costs for both a 100 and 250 year return period. These costs would represent approximately 5 percent and 7 percent, respectively, of stockholders’ equity attributable to Alleghany as of December 31, 2016, compared with approximately 7 and 10 percent as of December 31, 2015, respectively. The decline in net PMLs is due in part to the changes in the timing of retrocessional reinsurance purchases. Excluding the timing impact of additional cover due to expire in May 2017, after-tax net PMLs for “Florida, Wind” at a 100 and 250 year return period would have been approximately 6 percent and 8 percent of stockholders’ equity attributable to Alleghany, respectively, as of December 31, 2016. (Shareholders Equity as of 12/31/2016 is $7.9 bn)

Alleghany 2016 10-K Filing, Catastrophe Exposure section, page 116

12/31/2016

Allied World Assurance Company Holdings, A Target 11.3% - 14.2%

Consolidated Estimated Net Loss as of December 1, 2016 U.S. total Hurricane is $399M for 1-in-100 Year and $446M for 1-in-250 Year. U.S. total Earthquake is $402M for 1-in-100 Year and $503M for 1-in-250 Year. Other zones are as follows; U.S. Southeast Hurricane $369M for 1-in-100 Year and $407M for 1-in-250 Year; U.S. Gulf Coast Hurricane $202M for 1-in-100 Year and $368M for 1-in-250 Year; U.S. Northeast Hurricane $211M for 1-in-100 Year and $392M for 1-in-250 Year; California Earthquake is $320M for 1-in-100 Year and $481M for 1-in-250 Year. (Shareholders Equity as of 12/31/2016 is $3.552 bn)

Allied World Assurance Company, 4Q2016 Financial Supplement, Probable Maximum Losses Section, Page 20

12/31/2016

American Financial Group, Inc. Actual - - -

AFG’s net exposure to a catastrophic earthquake or windstorm that industry models indicate could occur once in every 500 years (a “500-year event”) is expected to be less than 4% of AFG’s Shareholders’ Equity.

American Financial Group 2016 10-K Filing, Catastrophe losses section, page 4

12/31/2016

Amerisafe, Inc. N/A - - - No risk tolerance metrics indicated N/A N/A

Amtrust Financial Services, Inc. Actual - - -

The group's property catastrophe reinsurance program provides protection up to $610 million per occurrence in a four layer tower, excess of the retention of $20 million per occurrence on property losses, net of recoveries under the property per risk reinsurance coverage.

Amtrust Group AM Best Report #18533, Reinsurance Section

2/27/2017

ARCH Capital Group, Ltd. Target - - 25.0%

Currently, we seek to limit our 1-in-250 year return period net probable maximum pre-tax loss from a severe catastrophic event in any geographic zone to approximately 25% of total shareholders’ equity available to Arch. We reserve the right to change this threshold at any time. Based on in-force exposure estimated as of January 1, 2017, our modeled peak zone catastrophe exposure is a windstorm affecting the Northeastern U.S., with a net probable maximum pre-tax loss of $492 million, followed by windstorms affecting the Gulf of Mexico and Florida Tri-County with net probable maximum pre-tax losses of $427 million and $394 million, respectively. (Shareholders Equity as of 12/31/2016 is $9,106 mn)

ARCH Capital Group 2016 10-K Filing, Natural Catastrophe Risk section, Page 76

12/31/2016

Argo Group International Holdings, Ltd. N/A - - - No risk tolerance metrics indicated N/A N/A

Company





Assurant, Inc. Actual - - -

The group, through the Global Housing reporting segment, maintains an extensive catastrophe reinsurance program. The property 2016 catastrophe program provided $1.4 billion in excess of $125 million retention. All layers of the program provide the option for automatic restatement. They also include a cascading feature to provide multi-event protection so that when the limit of a layer and reinstatement limit is exhausted, the layer above it drops down in its place.Coverage in Latin America (Mexico) and the Caribbean increased to $151.5 million in excess of $4.5 million, and $145 million in excess of $15 million,respectively.The group's traditional catastrophe treaties have a split placement in January and June to help offset pricing variability. The majority of the program is placed within the domestic and international markets with high quality carriers. Recoverables have varied in recent years through changes in ceded business to reinsured captives as well as a large increase from recoverables from the National Flood Insurance Program of which ABIC acts as an administrator.

Assurant AM Best report #18523, Balance Sheet Strength Section

3/20/2017

Aviabel S.A. N/A - - - No risk tolerance metrics indicated N/A N/ABaldwin & Lyons, Inc. N/A - - - No risk tolerance metrics indicated N/A N/A

Beazley Plc Target - - 27.8%

The group’s high level catastrophe risk appetite is set by the board and the business plans of each team are determined within these parameters. The board may adjust these limits over time as conditions change. In 2016 the group operated to a catastrophe risk appetite for a probabilistic 1-in-250 years US event of $412.0m (2015: $462.0m) net of reinsurance. This represented a reduction in our catastrophe risk appetite of 11% compared to 2015. (Shareholders Equity as of 12/31/2016 is $ 1,483.7 million)

Beazley 2016 Annual Report, Risk Management Section, Page 150

12/31/2016

CV Starr N/A - - - No risk tolerance metrics indicated N/A N/A

EMC Insurance Group Inc. Actual - - -

catastrophe reinsurance recovers $205 million excess of $10 million in five layers with the first layer $10 million excess of $10 million (50% placed) subject to a $10 million annual aggregate deductible

EMC Insurance Companies AM Best Report #2161, Reinsurance Section

3/6/2017

Employers Holdings, Inc. Actual - - -

We purchase reinsurance to protect us against the costs of severe claims and catastrophic events, including natural perils and acts of terrorism, excluding nuclear, biological, chemical, and radiological events. On July 1, 2016, we entered into a new reinsurance program that is effective through June 30, 2017. The reinsurance program consists of one treaty covering excess of loss and catastrophic loss events in four layers of coverage. Our reinsurance coverage is $190.0 million in excess of our $10.0 million retention on a per occurrence basis, subject to certain exclusions.

Employers Holdings 2016 10-K Filing, page 18 12/31/2016

Company





Endurance Specialty Holdings Ltd. Target 11.4% - 14.0%

It is our overall corporate objective to limit the risk of a significant loss on an economic basis from a one-in-one-hundred year series of catastrophic events to no more than 25% of our shareholders' equity. Largest 1 in 100 PML as of January 1, 2016 is equal to 11.4% of shareholders' equity available to the company for 1-in10-year, 1-in-25 year, 1-in-50-year, 1-in-100-year and 1-in-250-year event for United States Hurricane, Europe Windstorm, California Earthquake, Japan Windstorm, Northwest U.S. Earthquake, Japan Earthquake, United States Tornado/Hail, Australia Earthquake, New Zealand Earthquake, Australia Windstorm and New Madrid Earthquake.

Endurance Specialty Holdings Ltd. 2016 10-K Filing, Enterprise Risk Management section, Page 9, Endurance Specialty Holdings - 2nd quarter Financial Supplement, Page 9

12/31/2016

First Acceptance Corporation Actual - - -

Since its inception, the Group has not sustained a significant loss of surplus from a single catastrophic event. This may be attributed to its minimum liability limits private passenger non-standard automobile risk profile. Property catastrophe reinsurance protection is not purchased and higher limits offered are only approximately 1 percent of all premium and 100 percent reinsured.

First Acceptance Insurance Group AM Best Report #18600, Balance Sheet Strength Section, Page 13

12/7/2016

Fuji Fire and Marine Insurance Company, Lim N/A - - - No risk tolerance metrics indicated N/A N/A

Global Indemnity Plc Actual - - -

Effective June 1, 2016, the Company renewed its property catastrophe excess of loss treaty which provides occurrence coverage for losses of $280 million in excess of $20 million. This treaty is made up of three layers: $20 million in excess of $20 million, which the Company participated on 25% of the placement, $60 million in excess of $40 million, and $200 million in excess of $100 million. This treaty provides for one full reinstatement of coverage at 100% additional premium as to time and pro rata as to amount of limit reinstated.

Global Indemnity Plc 2016 10-K Filing, Reinsurance of Underwriting Risk, Page 9

12/31/2016

Hallmark Financial Services, Inc. N/A - - - No risk tolerance metrics indicated N/A N/A

Hiscox Limited Target 7.9% 3.2% -

The Board requires all underwriters to operate within an overall Group appetite for individual events. This defines the maximum exposure that the Group is prepared to retain on its own account for any one potential catastrophe event or disaster. The Group’s underwriting risk appetite seeks to ensure that it should not lose more than 12.5% of core capital plus 100% of buffer capital (£100 million) with an allowance for expected investment income, as a result of a 1 in 200 bad underwriting year.The modeled Hiscox Ltd net loss as a percentage of total shareholders' equity is JPEQ (1 in 240 yr event) - 4.9%; Gulf of Mexico WS (1 in 80 yr event) - 7.9%; Florida WS (1 in 100 yr event) - 7.9%; EU WS (1 in 200 yr event) - 3.2% and San Francisco EQ (1 in 110 yr event) - 7.1%

Hiscox 2016 Annual Report, Insurance risk section, Page 90, Actively managed key underwriting exposures Section, Page 21

12/31/2016

Company





James River Group Holdings, Ltd. Target - - -

We have structured our reinsurance arrangements so that our estimated net pretax loss from a 1/1000 year probable maximum loss event is no more than $10.0 million on a group wide basis.Based upon our modeling, a $45.0 million gross catastrophe loss would exceed our 1,000 year PML. In the event of a $45.0 million gross property catastrophe loss to the Company, we estimate our pretax cost at approximately $7.9 million, including reinstatement premiums and net retentions. In addition to this retention, we would retain any losses in excess of our reinsurance coverage limits. (Stockholders Equity as of 12/31/2016 is $693 mn)

James River Group 2016 10-K Filing, Business Section, Page 4 & Liquidity and Capital Resources Section, Page 114

12/31/2016

Kingsway Financial Services Inc. N/A - - - No risk tolerance metrics indicated N/A N/A

Lancashire Holdings Limited Actual 11.4% - 18.8%

The Group’s GOM Hurricanes net loss estimates (before income tax and net of reinstatement premiums and outwards reinsurances), as a percentage of capital (including long-term debt), for 100 year return period is ($176.7 mn) 12.9% and for 250 year return period is ($259 mn) 18.8%. The Group’s Non - Gulf of Mexico - US Hurricanes net loss estimates (before income tax and net of reinstatement premiums and outwards reinsurances), as a percentage of capital (including long-term debt), for 100 year return period is ($156.1 mn) 11.4% and for 250 year return period is ($326.1 mn) 23.7%.

Lancashire 2016 Annual Report, Insurance Risk section, page 104

12/31/2016

Markel Corporation N/A - - - No risk tolerance metrics indicated N/A N/A

National Interstate Corporation Actual - - -

The group maintains reinsurance for catastrophic property losses up to $12.5 million, subject to a retention of $500,000. The first $2.0 million excess $500,000 layer provides coverage for Vanliner, Hawaii, and Alaska property exposures, excluding auto physical damage losses. All other property exposures are reinsured internally through Hudson Indemnity.

National Interstate Corp. AM Best Report #10829, Reinsurance section

3/9/2017

Navigators Group, Inc. Actual - - -

Our Company has significant natural catastrophe exposures throughout the world. We estimate that the largest exposure to loss from a single natural catastrope event comes from a hurricane on the east coast of the U.S. As of December 31, 2016, our Company estimates that the probable maximum pretax gross and net loss exposure from such a hurricane event would be approximately $140.0 million and $46.1 million, respectively, including the cost of RRPs. (Stockholders Equity as of 12/31/2016 is $1,178.2mn)

Navigators Group 2016 10-K Filing, Catastrophe Risk Management section, Page 50

12/31/2016

Novae Group Plc Actual - - -As of January 1, 2017, net group exposure impact on Novae for: Florida WS - $95M, Gulf of Mexico WS - $96M, Californian EQ - $119M, NE USA WS - $53M, European Windstorm is $40M and Japanese EQ - $41M

Novae Group PLC 2016 Annual Report, Risk Management Section, Page 99

12/31/2016

Company





OneBeacon Insurance Group, Ltd. Actual - - 12.7%

We anticipate that the $130.0 million limit is more than sufficient to cover the maximum hurricane and earthquake losses with a modeled 0.4% probability of occurrence (1in-250-year). (Common Shareholders Equity as of 12/31/2016 is $1,025.2 mn)

OneBeacon 2016 10-K Filing, Catastrophe Risk Management and Reinsurance Protection section, Page 8

12/31/2016

RLI Corp. Actual - - 8.7%

CAT reinsurance treaty purchased on January 1, 2017, there is a 99.6 percent likelihood that the loss will be less than 8.7 percent of policyholders’ surplus as of December 31, 2016,. The property reinsurance program consists of a per risk excess of loss treaty with a $25,000,000 limit and maximum retention of $1,200,000, and a corporate catastrophe cover. For earthquake, there is a surplus share cover with a per risk limit of $15,000,000 and a maximum occurrence limit of $132,000,000. Both the Per Risk and surplus covers are placed on a risk attaching basis, so a single event will access two treaty years.

RLI 2016 10-K Filing, Property Reinsurance Section, page 13; AM Best Report #3883,Reinsurance Section

12/31/2016 (10K); 10/11/2016 (AMB)

Sampo Plc Actual - - -

A group-wide reinsurance program has been in place in IF P&C since 2003. In 2016, retention levels were between SEK 100 million (approximately EUR 10.5 million) and SEK 250 million (approximately EUR 26.2 million) per risk and SEK 250 million (approximately EUR 26.2 million) per event.

Sampo plc 2016 Annual Report, Premium Risk and Catastrophe Risk Management and Control Section, Page125

12/31/2016

State National Companies Inc. N/A - - - No risk tolerance metrics indicated N/A N/A

Suncorp Group Limited Actual - - -

Reinsurance security has been maintained for the 2017 financial year program, with over 85% of business protected by reinsurers rated ‘A+’ or better. The upper limit on Suncorp’s main catastrophe program, which covers the Group’s Home, Motor and Commercial Property portfolios for major events will remain unchanged at $6.9 billion for the 2017 financial year. The maximum event retention is $250 million. Additional cover has been purchased to reduce this retention to $200 million for a second Australian event and to $50 million for third and fourth events.For New Zealand risks, multi-year cover is in place which reduces the first event retention to NZ$50 million and the second and third event retentions to NZ$25 million. For the 2017 financial year, Suncorp has purchased a Natural Hazards Aggregate cover. This provides $300 million of cover once the retained portion of natural hazard events greater than $5 million exceeds a total of $460 million. The enhancements to the reinsurance program for the 2017 financial year have resulted in a net reduction in the natural hazard allowance.

Suncorp Group Ltd. 2016 Annual Report - Analyst Pack full year ended 30 June 2016, Reinsurance expense Section, Page 23

6/30/2016

Company





Topdanmark A/S Actual - - -

Reinsurance covers storm claims of up to DKK 5.1bn with a retention of DKK 100m. Snow loading, snow thawing and rainstorms are also covered. Reinstatement for the proportion of the cover used up is activated by payment of a reinstatement premium. In the event of another storm within the same year, there is cover of a further DKK 5.1bn with a retention of DKK 100m. In the event of a third and fourth storm, there is cover of up to DKK 670m with a retention of DKK 20m if the events occur within the same calendar year. To this should be added the cover not already hit twice by the first two storms. The cover of a third or fourth storm is dependent on the storm programme not having been hit previously by two individual storms each exceeding DKK 3.3bn. The storm programme is renewed on 1 July.Specific reinsurance cover of DKK 100m for rainstorms takes effect if accumulated annual rainstorm claims exceed DKK 50m. For a claim to be accumulated, the event must exceed DKK 10m. The maximum retention in the event of an extreme rainstorm is DKK 75m plus reinstatement premiums.

Topdanmark A/S 2016 Annual Report, Disaster risks Section, Page 65

3/2/2017

Unico American Corporation N/A - - - No risk tolerance metrics indicated N/A N/A

United Fire Group, Inc. Actual - - - The 2015 catastrophe program is 100% of $230 million, excess of $20 million, and includes 1 reinstatement.

United Fire & Casualty Co. AM Best Report #928, Reinsurance Section, Page 23

3/3/2017

W. R. Berkley Corporation Actual - - -

As of January 1, 2017: The Company’s property per risk reinsurance generally covers losses between $2.5 million and $50 million. The Company’s catastrophe excess of loss reinsurance program provides protection for net losses between $30 million and $355 million for the majority of business written by its U.S. Insurance segment operating units, excluding offshore energy. The Company has separate catastrophe excess of loss reinsurance for business written through its Lloyd’s Syndicate that provides protection for losses between $8.5 million and $55 million for events in North America. For North American losses greater than $55 million, the business written through the Company's Lloyd's Syndicate is protected within the U.S. program up to $355 million. The Company’s catastrophe reinsurance agreements are subject to certain limits, exclusions and reinstatement premiums.

W.R. Berkley 2016 10-K Filing, Reinsurance Section, Page 47

12/31/2016

Company






Asia Capital Reinsurance Group Pte. Ltd. Target - - -

The Company would limit its net exposure to any single risk to US$20.0 million (2015: US$24.0 million). The Company’s risk and capital management are designed and executed in order to maintain an “A” level rating post a 1 in 1000 year return period loss event affecting the Company over a one year horizon. The 1 in 1000 year return period event, benchmarked against the Asian natural catastrophe peak scenarios, is modelled to result in a US$54.0 million (2015: US$32.1 million) (net of retrocession) negative impact on profit or loss.

Asia Capital Re 2016 Annual Report, Risk Management Section, Page 40

3/31/2016

Aspen Insurance Holdings Limited Actual 17.5% - 25.0%

Tolerance level as a % of shareholders' equity is 25% for 1-in-250 year event and 17.5% for 1-in-100 year event.1 in 100 yr tolerance %: US All Wind (18.7%), Japan All Perils (3.3%), CA EQ (10.6%), EU Wind (4.5%), US Pacific NW (Cascadia) EQ (3.3%), US Eastern EQ (1.7%); 1 in 250 yr tolerance %: US All Wind (30.4%), Japan All Perils (3.8%), CA EQ (14.8%), EU Wind (5.7%), US Pacific NW (Cascadia) EQ (6.4%), US Eastern EQ (9.0%)

Aspen Insurance Holdings - Investor Presentation Fourth Quarter 2016, page 15

12/31/2016

AXIS Capital Holdings Limited Target 8.5% - 25.0%

At the 1-in-250 year return period, we are not willing to expose more than 25% of our prior quarter-end common-equity from a single event within a single zone. Company has a modeled single occurrence 1-in-100 year return period PML for a Southeast hurricane, net of reinsurance, is approximately $534 million and PML for 1-in-250 year return period is $811 million (maximum PML for single event, single zone). (Shareholders Equity as of 12/31/2016 is $6,272 mn)

AXIS 2016 10-K Filing, Natural peril catastrophe risk section, page 12

12/31/2016

Berkshire Hathaway Inc. Target - - -

Company attempt to take into account all possible correlations and avoid writing groups of policies from which pre-tax losses might aggregate above $10 billion. Currently, we estimate that our aggregate exposure from a single risk under outstanding policies is significantly below $10 billion. Our tolerance for significant insurance losses will likely result in lower reported earnings (or net losses) in a future period. (Shareholders Equity as of 12/31/2016 is $286.3bn)

Berkshire Hathaway 2016 10-K Filing, Risk Factors Section, Page 25

12/31/2016

China Reinsurance (Group) Corporation N/A - - -

China Re reviews its risk exposure by conducting in-house catastrophe modeling (licensed AIR and RMS models) to assess its probable maximum loss (PML), and purchases retrocession coverage based on its risk appetite and risk tolerance level. ChinaRe's retrocession program is of good credit quality as most of the retrocessionaires on its panel have solid financial strength.

China Reinsurance Corp AM Best Report #090955, Reinsurance Section

5/4/2017

Everest Re Group, Ltd. Target 11.4% - 14.9%

Management estimates that the projected net economic loss from its largest 100-year event in a given zone represents approximately 11% of its December 31, 2016 shareholders' equity.Gross loss for Southeast U.S. Wind, California Earthquake, Texas Wind for 1-in-100 year event is, $1544M, $1050M, $915M, respectively and for 1-in-250 year is, $1929M, $1665M, $1539M, respectively.Net loss for Southeast U.S. Wind, California Earthquake, Texas Wind for 1-in-100 year event is, $921M, $731M, $620M, respectively and for 1-in-250 year is, $1200M, $1152M, $1017M, respectively. (Stockholders Equity as of 12/31/2016 is $8,075 mn)

Everest Re 2016 10-K Filing, Risk Management of Underwriting and Reinsurance Arrangements section, Page 12

12/31/2016

Disclosed Risk ToleranceCompany




Greenlight Capital Re, Ltd. Actual - - -

Our severity business, and to a lesser extent our frequency business, include certain contracts that contain or may contain natural peril loss exposure. As of January 1, 2017, our maximum aggregate loss exposure to any series of natural peril events was $229.9 million. For purposes of the preceding sentence, aggregate loss exposure is net of any retrocession (including any ILWs) and is equal to the difference between the aggregate limits available in the contracts that contain natural peril exposure minus reinstatement premiums, if any, for the same contracts. We categorize peak zones as: United States, Canada and the Caribbean; Europe; Japan; and the rest of the world. (Stockholders Equity as of 12/31/2016 is $892 mn)

Greenlight Re 2016 10-K Filing, page 67

12/31/2016

Hannover Rück SE Target 8.7% 18.8% 11.7%

The Company's maximum annual loss for 100-year and 250-year events for Winter storm Europe is EUR 391.4 million and EUR 541.4 million. Hurricance US / Caribbean is EUR 850.3 million and EUR 1,139.4 million. Typhoon Japan is EUR 223.9 million and EUR 281.9 million. Earthquake Japan is EUR 363.1 million and EUR 623.5 million. Earthquake US West Coast is EUR 440.6 million and EUR 795.4 million. Earthquake Australia is EUR 201.0 million and EUR 432.3 million. The Company's all natural catastrophe aggregate net loss threshold and limit for 1:200 year event is EUR 1,645 million and EUR 1,827 million. (Shareholders Equity as of 12/31/2016 is EUR 9,741million)

Hannover Re 2016 Annual Report, Underwriting risks in property and casualty reinsurance, Page 84

12/31/2016

Maiden Holdings, Ltd. Target - - 3.0%

While we do not write catastrophe reinsurance contracts, certain risks we reinsure are exposed to catastrophic loss events. Our tolerance is that our modeled one-in 250 year catastrophe occurrence loss must be less than 50% of our planned operating income and our annual aggregate loss must be less than 75% of our planned operating income. At December 31, 2016 , our one-in-250 year catastrophe exposure on a per occurrence and aggregate basis is $41.1 million and $87.2 million, respectively, within these stated tolerances. (Stockholders Equity as of 12/31/2016 is $1361.2 mn)

Maiden Holdings 2016 10-K filing, page 10, Catastrophe Risk section

12/31/2016

Münchener Rückversicherungs-Gesellschaft A Actual - 13.8% -

As in 2016, the largest natural catastrophe exposure for Munich Re is the €4.4bn currently retained for the “Atlantic Hurricane” scenario (value at risk for a 200-year return period). The second-largest scenario is “ Los Angeles earthquake” with a retention of €2.6bn, followed by the “Storm Europe“ scenario with a retention of €2.3bn.(Stockholders Equity as of 12/31/2016 is €31,785mn)

Munich Re Group 2016 Annual Report, Risk Management Section, Page 70

12/31/2016

RenaissanceRe Holdings Ltd. N/A - - - No risk tolerance metrics indicated N/A N/A





SCOR SE Target - 11.4% -

SCOR's purchases traditional retrocession from a broad range of retrocessionaires to protect against life catastrophic loss events such as major pandemic, or terrorism. In the past, SCOR organised additional protection through a four-year mortality swap. In January 2016, the group sponsored Atlas IX Series 2016-1, providing protection of up to USD 300 million for US named storm and US and Canada earthquakes events for a risk period running from 13 January 2016 to 31 December 2019. Limits and exposures net of reinsurance and reinstatements / pre-tax for a 1-in-200-year annual probability are given for Major fraud in largest US earthquake (3%), North Atlantic hurricane (7.3%), EU wind (10.3%), EU Wind(4.7%), Japan Earthquake(2.8%), Terrorist attack. (Stockholders Equity as of 12/31/2016 is EUR 6,695mn).

SCOR SE AM Best Report #086155, SCOR Group Presentation - "Optimal Dynamics" - Investor Day 2016, Overview of 2016 risk exposures section, Page 88

7/9/2016

Swiss Re Limited Actual - 14.3% -As of 12/31/2016 1:200 PML net losses for: Japan EQ is $3.1B, Atlantic Hurricane is $5.1B, Europe WS is $2.6B and California EQ is $3.4B (Stockholders Equity as of 12/31/2016 is $35.634 billion)

Swiss Re 2016 Annual Report, P&C Risk Section, Page 73

12/31/2016

Third Point Reinsurance Ltd. N/A - - - No risk tolerance metrics indicated N/A N/A

Validus Holdings, Ltd. Target 19.3% - 25.3%

Validus has consolidated estimated net losses for 20-year, 50-year, 100-year and 250-year return periods. 1:100 year PML equal to 15.4% of quarter end capital, 19.3% of shareholders’ equity. 100-year PMLs by zone and peril are US HU: 17.8.%, CAEQ: 7.2%, EU Wind: 6.2%, JP EQ: 5.0%, JP Typhoon: 5.2%. 250-year PMLs by zone and peril are US HU: 25.3%, CAEQ: 9.8%, EU Wind: 10.8%, JP EQ: 6.4%, JP Typhoon: 6.4%. (Total Shareholders Equity as of 12/31/2016 is $4004.3mn)

Validus Holdings Ltd Q4 2016 Investor Presentation, Page 27

12/31/2016

White Mountains Insurance Group, Ltd. Actual - - 0.5%

Effective May 1, 2016, OneBeacon renewed its property catastrophe reinsurance program through April 30, 2017. The program provides coverage for OneBeacon’s property business as well as certain acts of terrorism. Under the program, the first $20 million of losses resulting from any single catastrophe are retained, with 100.0% of the next $110 million of losses resulting from the catastrophe being reinsured. Any part of losses from a catastrophe in excess of $130 million would be retained in full. In the event of a catastrophe, OneBeacon's property catastrophe reinsurance program is reinstated for the remainder of the original contract term by paying a reinstatement premium that is based on the percentage of coverage reinstated and the original property catastrophe coverage premium. OneBeacon anticipates that the $130 million limit is more than sufficient to cover the maximum hurricane and earthquake losses with a modeled 0.4% probability of occurrence (1-in-250-year). This $130 million limit is consistent with the limit that OneBeacon’s previous catastrophe reinsurance program provided. (Total Shareholders Equity as of 12/31/2016 is $3,737.2mn)

White Mountains Insurance Group, Ltd. 2016 10-K Filing, Catastrophe Risk Management and Reinsurance Protection Section Page. No 8

12/31/2016



Contact Information

Patrick Matthews, CFA Global Head of Rating Agency Advisory Aon Benfield +1.215.751.1591 [email protected]

Derrick Brach Senior Analyst, US Rating Agency Advisory Aon Benfield +1.312.381.5407 [email protected]

Parr Schoolman, FCAS, MAAA, CERA Global Head of Risk & Capital Strategy Aon Benfield +1.312.381.5330 [email protected]

Dayakara Reddy Head of Financial Research Team Aon Benfield +91.806.621.8234 [email protected]

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© Aon Benfield 2017. All rights reserved. This document is intended for general information purposes only and should not be construed as advice or opinions on any specific facts or circumstances. This analysis is based upon information from sources we consider to be reliable, however Aon Benfield does not warrant the accuracy of the data herein. The content of this document is made available on an “as is” basis, without warranty of any kind. Aon Benfield disclaims any legal liability to any person or organization for loss or damage caused by or resulting from any reliance placed on that content. Members of the Aon Benfield Analytics team will be pleased to consult on any specific situations and to provide further information regarding the matters discussed herein.

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