Loss Reserve Governance Presented by: Robert Giambo Managing Director Swiss Reinsurance America Corp. CAS Spring 2008 Meeting

Slide 2 Background Swiss Re Group is global reinsurer writing both P&C and L&H reinsurance. P&C gross loss reserves are: – approximately $72B groupwide – $31B in the Americas SR Group has the preponderance of its loss reserves in approximately 18 legal entities worldwide.

Slide 3 Reserving at SR Group Loss Reserving is done within Corporate Actuarial The reserving function reports to the Chief Risk Officer – maintaining some independence from Marketing, Finance and Underwriting Reserving units are split – P&C vs. L&H – Regions – Americas, Europe, Asia Each regional unit is responsible for the local legal entities. P&C Corporate Actuarial staffing levels: – 62 worldwide – 27 in Americas, 16 members of the CAS

Slide 4 Reserving at SR Group Reserve reviews are generally performed quarterly. May be a combination of: – top-down review for some segments – Chain Ladder / BF indications, etc. – Actual vs. Expected for others Indications are done on a legal entity basis excluding inter- company retro’s (IGR’s); that is – all assumed from external ceding companies less – all ceded to external retrocessionaires Booked reserves are determined at regional level by regional management in the form of a Regional Reserve Committee (RRC).

Slide 5 Regional Reserve Committee Meets quarterly. Responsible for setting appropriate GAAP loss reserves and related items Voting Members include: – Group Actuary – Regional CFO – Senior members of underwriting and client markets Other attendees include: – regional corporate actuary (responsible for preparing indications) plus other actuarial staff – regional head of claims – other invited guests

Slide 6 Regional Reserve Committee RRC has a written charter defining roles and responsibilities. Meetings have agendas and minutes. Regional actuary provides best estimate and recommendation. Any management selection different from recommendation would be minuted with justification for management action.

Slide 7 Regional Reserve Committee Committee is provided with indications by reserve segment: – with quarter and year-to-date development. – explanation of all significant developments. Summary exhibits provided to show: – trends by summary LoB – underwriting year – indications vs. initial pricing estimates

Slide 8 Legal Entity Reserves The RRC is not sufficient by itself to fulfill the statutory obligations of the legal entities. Separate meetings are held with legal entity boards. RRC minutes and agendas are available to legal entitiy board members. Usually 3 or 4 RRC members are on the legal entity boards.

Slide 9 Organizational Structure

Slide 10 Role of Group P&C Actuarial Group P&C Actuarial – calculates a range of reasonable reserves for each major legal entity (assumed only). – provides a quarterly report to Executive Committee and Group Audit Committee. – because it is collecting data on a consistent basis from the underlying legal entities, it can be a focal point in responding at a group level to: – shareholders – rating agencies – stock analysts Group indications are shared backed to the RRC’s.

Slide 11 Other Controls Quarterly meeting with Claims to discuss large cases. Review of quarterly indications with underwriting and marketing. Quarterly meeting with Claims to discuss nat cat losses. Pricing / Reserving Linkage: – Corporate Actuarial involvement in pricing parameters. – Corporate Actuarial involvement in pricing/underwriting audits. – Dialog with pricing actuaries on current underwriting year pricing loss ratio. SOX