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Catastrophe Risk Consulting

CoreLogic® provides catastrophe risk consulting to the insurance-linked securities marketplace in the support of insurance, reinsurance, corporate, government and investor clients to assist in the transfer of risk in the capital markets.

Since 1997, CoreLogic has been providing services to sponsors and issuers of catastrophe bonds and private risk swaps. Amongst our clients are large insurers, reinsurers, and corporate sponsors. At CoreLogic, we are here to assist you with your risk transfer needs – from small private transactions to large 144A catastrophe bonds.

CoreLogic provides insights both through the Professional Commentaries as well as through databases which contain a full description of the CoreLogic view of the risk associated with each tranche. These databases can be used to aggregate, stress, and investigate the modeled view of the risk.

Insurance-Linked Securities Consulting Services Include:

  • Full probabilistic risk analysis of client portfolios
  • Assistance in design of risk transfer structures and loss triggers
  • Basis risk studies
  • Transaction risk analysis
  • Disclosure and documentation
  • Rating agency support
  • Investor marketing support

Insurance-linked securities consulting may extend past closing, through the life of the deal, and include model and portfolio resets, loss event reporting and monitoring of natural catastrophe activity that could impact pricing of cat bonds in the secondary market.

Issuance Support

Analysts assist clients in the design of a transaction structure to include attachment and exhaustion levels, potential loss triggers (e.g. indemnity, industry loss, parametric index, pure parametric), per occurrence or aggregate covers, single vs. multi-peril, etc.

Analysts assess the likelihood that a client's proposed deal structure will not fully match the underlying expected loss characteristics as defined by the model. The basis risk can then be managed and/or mitigated.

CoreLogic provides complete probabilistic risk analysis of the defined transaction structure providing full risk metrics, along with descriptions of the peril(s), underlying models used, data sources, historical cat activity, descriptions of the risk (portfolio) being transferred. Risk results usually include simulations of major historical scenarios and credible hypothetical future scenarios. Documentation can be via a Rule 144a placement or via a private cat swap placement.

Analysts work with the client and underwriter to achieve the targeted rating using descriptions of the risks, models, key assumptions and limitations, and additional sensitivity analyses requested by the rating agency.

Investor Marketing Support

Following deal completion, CoreLogic may provide additional services including acting as calculation agent for loss determination and resets to accommodate changes in underlying ceded portfolios, industry loss exposures, or updates to the models since the deal was placed. CoreLogic may also advise the client and rating agencies on major cat events that could result in attachment to the issue, and/or one of its tranches.

CoreLogic provides support to investors in insurance linked securities through a variety of unique and informative products and services. Available through subscription pricing or on a per transaction basis, these products provide meaningful insights into risk at all levels, including those with probabilities extending beyond 1,000 years.

Insured Exposure Database (IED) represents insured values by peril and by line of business for major insurance markets worldwide. For each country, CoreLogic has developed estimates of total insured values derived from representative market exposure data, census demographics, macroeconomic data, building square footage data, and representative policy terms and conditions.

IED Coverage - CoreLogic has developed insured exposure data for the following peril/regions:

  • U.S. Hurricane
  • U.S. Earthquake
  • U.S. Tornado
  • Canada Earthquake
  • Japan Typhoon
  • Japan Earthquake
  • Europe Windstorm

Insured Loss Database (ILD) quantifies insured exposure by region and line of business. The ILD provides a perspective of regional insured market risk, enabling detailed evaluation of the severity of potential insured risk. The ILD provides an easy-to use method for producing insured market catastrophe loss estimates for insurers and reinsurers. This product is directly applicable to understanding risk associated with Industry Loss Warranties (ILWs), as well as performing market share analyses to estimate risk associated with transactions with minimal disclosure.

ILD Coverage - CoreLogic has developed insured exposure data for the following peril/regions:

  • European Windstorm
  • Japan Earthquake
  • Japan Typhoon
  • U.S. Earthquake
  • U.S. Hurricane
  • Full risk metrics 
  • Expected loss contribution
  • Descriptions of the peril(s)
  • Underlying models used
  • Historical catastrophic activity
  • Descriptions of the risk (portfolio) being transferred
  • The CoreLogic perspective on salient considerations for the tranche.

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