Aucun titre de diapositive

1
WRMA 5th Asia-Pacific Meeting Weather covers An
innovative multi-purpose tool
Salah DHOUIB
2
Todays accomplishments
The Weather covers market is mainly
TABLE
Indexed on HDD, CDD and T24Av Structured as
simple Puts, Calls and Swaps Targeting the
Energy sector
3
A need for innovation
3 axes for innovation
TABLE
A. Creating new indexes to better correlate with
the risk B. Creating tailor-made structure to
better meet the client needs/budget C. Targeting
new sectors/clients
4
A. Creating new indexes
5
A. Creating new indexes BEVEX
Validated by brewers and soft-drink
makers Captures the 4 major market losses of the
last 20 years

BEVEX is an AXA registered trademark
6
A. Creating new indexes BEVEX
The daily index for a station is the number of
degrees above a certain threshold
7
A. Creating new indexes BEVEX
Beer volume sales vs. BEVEX. France May-August
BEVEX based on Paris, Lyon, Marseille, Rennes
and Bordeaux
200
150
100
50
from the average
0
2002
2001
2000
1999
1998
-50
-100
-150
-200
8
A. Creating new indexes Yield Model
9
A. Creating new indexes Yield Model
The Index is based on the county/region wide
grain yield reported by the Agricultural
Ministry/Department
10
A. Creating new indexes Yield Model
11
A. Creating new indexes Yield Model
The Index meets the farmers needs much better
than a purely weather based index
The Index does not cover a bad yield due to -gt
Moral hazard, bad management from the farmer -gt
Other natural or non-natural perils disease,
bush fire, windstorm, flood, pollution,
insufficient pollenisation, etc
12
B. Creating tailor made structures
Using Collars instead of simple options -gt
Lowering the price by making the good
years/seasons partially pay for the bad
years/seasons Proposing multi-years/multi-seasons
protections with an aggregate limit -gt Having an
equivalent protection for a much better price -gt
Securing future years protection from market
fluctuations
13
B. Creating tailor made structures Case study
Cool Summer Cover, Tokyo, July-Sep, Average
T24Av Short Put Strike 25.3C (85 STD under the
Linear Detrended Average), Limit 100M, 100M/C,
i.e. 1C -gtLinear Detrended Average
10.2M Same Put Long Call 26.7C, Limit 33M,
33M/C -gt Linear Detrended Average 5.9 M gt
42 decrease for the Linear Detrended Average
14
B. Creating tailor made structures Case study

• 3 Years Put Aggregate Limit200M never happened
• No Aggregate Limit for the Call
• -gt Same Linear Detrended Average (10.2M/year)
• -gt Std Dev divided by 1.7 (16M vs. 27M)
• Multi-Year Aggregate
• Lesser risk for the Seller
• Same protection, Better price for the Buyer

15
C. Targeting new markets
Weather Cover as a marketing tool -gt Energy
Targeting the final client you and me -gt
Including a weather based insurance for Credit
Card Holders (when they use it to buy a trip for
example) Index Based Reinsurance Covering
Insurance Companies for Frost and Wind Storms
16
C. Targeting new markets Energy Company's
clients (1/2)
A weather based insurance for the final
client Gifted as a marketing tool or bought as an
insurance policy Fees collected may be used to
buy a mild protection
17
C. Targeting new markets Energy Company's
clients (2/2). Case Study
Digital Put, Osaka, Nov-Feb, Strike 8C (1.4 STD
under the Linear Detrended Average, happens once
per decade), Limit 10 of the yearly average bill
18
C. Targeting new markets IBRFrost trigger and
property damages (1/2)
19
C. Targeting new markets IBRFrost trigger and
property damages (2/2)
20
C. Targeting new markets IBRWind trigger and
intensity of damages (1/2)
21
C. Targeting new markets IBRWind trigger and
intensity of damages (2/2)
22
A dedicated team at your entire disposal
E-mail weather_at_axa-re.com Tel [phone]
79 Fax [phone]