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GenevaDecember, 2007

World Meteorological Organization

Basics of Catastrophe Reinsurance

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Catastrophes and Insurance

The same catastrophe event affects many people – and is the cause of loss under many insurance policies at the same time.

– defeats statistical independence– losses aggregate from the same cause

Catastrophes create a separate class of insurance risk for insurance companies.

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Catastrophe Excess of Loss Reinsurance

Outline Sample Agreement

Reinsured Insurance Company XYZCoverage Property, physical damage and business interruption

losses arising from a single Event.Type Indemnity Excess of LossPeriod 12 months 1 January 200Q – 31 December 200QLimit Up to US$125,000,000 UNL excess of

US$100,000,000 UNL.Premium US$xx,xxx,xxxOther Conditions Definition of Event

Definition of UNLExclusionsetc.

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Catastrophe Excess of Loss Reinsurance

Example Hypothetical Loss

Total of Losses in an Event US$ 209,000,000Attachment US$ 100,000,000Recoverable from Cat XL US$ 109,000,000

Remaining Limit US$ 16,000,000

Please note: • The Reinsured may have purchased layers above and layers

below this layer US$125,000,000 xs US$100,000,000.• Together the layers form a catastrophe excess of loss program

(e.g. $700,000,000 xs $50,000,000 in four layers).

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Reinsurance and Catastrophe Risk

Motivation to purchase reinsurance

The purpose of catastrophe reinsurance is to limit the capital required to meet major catastrophe risks.

Hypothetical Program:

For catastrophe losses >US$50,000,000 the Reinsured will not have to have more risk capital available than US$50,000,000

- unless the loss is >US$750,000,000.

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Catastrophe Risk and Insurance

Miscellaneous Points

1. Risk Modeling

2. Other means of Risk Transfer• Pro rata Reinsurance• Index and parametrically based

Reinsurance/Derivatives

3. National Catastrophe Pools and Programs

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Financing Catastrophe Risk

Insured

Insured Insurance Reinsurer Retro-Company cessionaire

Insured

Insured

Insured

Insured Insurance Reinsurer Retro-Company cessionaire

Insured

Insured

Capital Markets Investors

Insurance Markets

Transfer of Catastrophe Risk

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Disclaimer

•Willis Structured Financial Solutions Limited ("WSFSL") is an investment business authorized and regulated by the UK Financial Services Authority.   Willis Securities, Inc. ("WSI"), is a licensed broker dealer authorized and regulated by the NASD and is a member of SIPC. Willis Capital Markets ("WCM") is a trading name of  WSFSL and WSI. Reinsurance products are placed through Willis Re Inc. in the United States and through Willis Limited in the UK. Willis Re, Willis Limited, WSFSL and WSI are Willis Group companies.  •These materials have been prepared by WCM for the WCM client or potential client to whom such materials are addressed in connection with an actual or potential mandate or engagement and may not be used or relied upon for any other purpose. These materials are based upon information provided by or on behalf of the company and other potential transaction participants from public sources or other sources.. WCM assumes no responsibility for independent investigation or verification of such information and has relied on such information being complete and accurate in all material respects. To the extent such information includes estimates and forecasts of future financial performance prepared by or reviewed with the company management or obtained from public sources, WCM has assumed that such estimates and forecasts have been reasonably prepared on bases reflecting the best currently available estimates and judgments of company management (or, with respect to estimates and forecasts obtained from public sources, represent reasonable estimates). No representation or warranty, express or implied, is made as to the accuracy or completeness of such information and nothing contained herein is, or shall be relied upon as, a representation, whether as to the past, the present or the future. This communication was designed for use by the WCM client or potential client and is being furnished and should be considered only in connection with other information, oral or written, being provided by WCM in connection herewith. The information contained herein is not intended to provide the sole basis for evaluating, and should not be considered a recommendation with respect to, any transaction or other matter. Nothing in this communication constitutes an offer or solicitation to sell or purchase any securities and is not a commitment by WCM (or any affiliate) to provide or arrange any financing for any transaction or to purchase any security in connection therewith. WCM assumes no obligation to update or otherwise revise these materials. This communication has not been prepared with a view towards public disclosure under any securities laws and may not be reproduced, disseminated, quoted or referred to, in whole or in part, without the prior written consent of WCM. Information contained within this communication may not reflect information known to other employees in any other business areas of Willis Group and its affiliates.