The Challenge
A Japanese reinsurer purchasing $800M in retrocessional protection struggled with optimal program structure. Manual retro modeling was time-consuming, and the company suspected it was overpaying for coverage while leaving capital inefficiencies unaddressed.
The Solution
Implemented Retrocession Agent to analyze retro program efficiency, model alternative structures, and optimize coverage layers. The system simulates thousands of scenarios to identify optimal attachment points, limits, and counterparty diversification.
Implementation
Analyzed existing retro program including treaty terms, pricing, and historical recoveries. Built baseline efficiency metrics across all layers.
Developed Monte Carlo simulation engine testing 10,000+ program structures. Optimized for capital efficiency, counterparty risk, and cost-effectiveness.
Created ongoing monitoring system recommending program adjustments based on portfolio changes, market pricing, and capital requirements.
Results
Reduced retro program cost from $120M to $72M annually
Freed $180M in excess capital through optimized program structure
Maintained protection quality while reducing cost through better layer design
Retro program analysis reduced from 3 weeks to 4 hours
"We were overpaying for the wrong coverage. The optimization revealed $48M in annual savings we didn't know existed."