Retrocession Waterfall

Apply retrocession attachments and limits to a gross ceded loss.

Description

A retrocession layer model applies each attachment and limit to the same gross ceded loss.

A retrocession layer model applies each attachment and limit to the same gross ceded loss. Aggregate recovery is clipped to gross loss after calculating layer amounts.^[1]

Apply retrocession attachments and limits to a gross ceded loss.

When to use Retrocession Waterfall

Use this tool to apply retrocession attachments and limits to a gross ceded loss.

Prepare the supplied policy terms, dates, assumptions or recorded indicators requested. Keep monetary amounts on one currency basis and select the applicable thresholds separately.

How to use Retrocession Waterfall and understand its results

Prepare the supplied policy terms, dates, assumptions or recorded indicators requested. Keep monetary amounts on one currency basis and select the applicable thresholds separately.
Enter grossCededLoss, layerAttachments, layerLimits using the field table and calculation rules, then run the tool.
Read layerRecoveries, totalRecovery, netRetainedLoss. The explanation below defines the units, signs, ordering and any flags or placeholder values.
If the tool reports an input issue, correct the values and run it again. Apply the stated assumptions when interpreting a successfully returned result.

Input field	Meaning	Value type; see rules below	Requirement
grossCededLoss	Gross ceded loss	number; minimum: 0	Required
layerAttachments	Retrocession layer attachments	list of number	Required
layerLimits	Retrocession layer limits	list of number	Required

Enter nonnegative gross loss and nonempty aligned nonnegative attachments/limits. Return layer recoveries in input order, clipped total and residual loss.

layer_i=min(limit_i,max(0,gross−attachment_i)); total=min(gross,Σlayers)

Units, indexing, boundary conditions and exceptional cases are defined in the calculation rules above.

Output field	Meaning	Value type
layerRecoveries	Recoveries by layer	list of number
totalRecovery	Total retrocession recovery	number; minimum: 0
netRetainedLoss	Net retained loss	number; minimum: 0

json

{
  "input": {
    "grossCededLoss": 500,
    "layerAttachments": [
      100,
      300
    ],
    "layerLimits": [
      200,
      100
    ]
  },
  "output": {
    "layerRecoveries": [
      200,
      100
    ],
    "totalRecovery": 300,
    "netRetainedLoss": 200
  }
}

Limitations and assumptions

Layers need not be ordered or nonoverlapping. Individual layer outputs can sum above the clipped total; no sequential erosion, reinstatement or treaty terms are modeled.

Numeric inputs must be finite. Follow the calculation-specific rules for overflow, underflow and exceptional cases. Lists are limited to 100,000 entries; the rules above may require smaller limits. Missing required fields, extra fields, wrong value types and violations of the calculation rules are input errors.

Alternative or Complementary methods

Use Stop-Loss Attachment: Calculate specific and aggregate stop-loss recoveries from supplied attachments. For a complementary task, use Umbrella Drop-Down: Calculate umbrella recovery with an optional underlying drop-down.

References

Retrocession Waterfall — tool.io

Similar or alternative tools

Stop-Loss Attachment
Calculate specific and aggregate stop-loss recoveries from supplied attachments.
Umbrella Drop-Down
Calculate umbrella recovery with an optional underlying drop-down.