1 July 2010

Swiss Re - Ricasso

General description of system

Ricasso (RIsk CApital SImulation SOftware) is a Monte Carlo simulation software licensed to small and medium sized Swiss Re clients in continental Europe, plus related brokers and regulators. Life and health aspects are not covered in Ricasso. Ricasso helps in optimising and structuring the reinsurance cover clients buy. Furthermore, the investment side can be modelled, providing insight in the capital need on a company level. Ricasso is built in C++, has a stand-alone MS Access database, and a VBA GUI.

Note: Swiss Re itself, because of its different needs as a globally diversified reinsurer, uses its self-developed ICAM system (Internal Capital Adequacy Model) for its own risk management. Ricasso is developed for clients and internal analyses of the impact of Swiss Re's products on the client side.

Functions performed

Single or multi-year simulations. Non-life premium and catastrophe risk, counterparty default risk (reinsurance default), interest-rate risk, property, fixed income, equity.

Specific Solvency II features

Ricasso helps clients to address the most important aspects of pillar one (calculating capital requirement using a partial internal model). Currently, the following modules are covered: non-life (premium and cat), counterparty default, equity, interest rate, property. Thus, of the market risk module, exchange rate and spread risk is missing. The latter will be implemented in the next version due later this year.

Advantages of Ricasso:

  1. Very fast (C++ kernel), so that the necessary number of simulations (millions to resolve the 99.5% quantile) can be performed within minutes even for complex structures.
  2. Intuitive graphical user interface (GUI). All common terms and conditions in the reinsurance structure can be input by radio buttons and text fields, so that it is, in most cases, not necessary for the user to programme any special feature. This excludes a potential source of errors, which would be very hard to find without thorough analysis of the programming code.
  3. Detailed internal documentation of the algorithms which can be used to explain certain features to the supervisor.
  4. 11 years of experience and of successful development history
  5. Ricasso offers an input data report allowing for a detailed check of the underlying data.
  6. Fit tool for loss history
  7. Plausibility of results can be verified by many different output options:
    1. per node
    2. in total in the simulation summary window
    3. in a database with all results
    4. in a detailed report

Specifications

  1. Very fast simulations
  2. Runs on a desktop or laptop
  3. Fast and easy installation
  4. Management of user access rights
  5. All outputs of each simulation run can be stored in a database to allow for any user-specific analysis or communication with other software
  6. Highly transparent; many ways to check for consistency
  7. Standard features can be enhanced by programming interface; however, this is not necessary in most cases.

Licensing/sales/support

  1. Manual of 400 pages
  2. Several days of training on the spot with meaningful exercises
  3. Hotline support included in licence price
  4. Updates are included. Only significant additional functionalities have to be purchased by a one-time payment, mainly to cover costs of additional training on the features

Types of user

Small and medium-sized insurance companies.

Areas/countries with the most users

Small and medium-sized insurance companies in Western Europe.

Contact person and details

[email protected]

Ricasso team leader Zurich:
Volker Lauff ([email protected]),
Swiss Reinsurance Company Ltd., Mythenquai 50/60, 8022 Zurich, Switzerland
Direct: +41 43 285 6438, fax: +41 43 282 6438 

Channels:
Software - IT 
Companies:
Swiss Re