Insurance Capital Markets Research

Quantitative (re)insurance research
Home of ICMR.Matrix and RISX Index

About ICMR

Insurance Capital Markets Research (ICMR) is a quantitative research consultancy with a focus on the Lloyd’s of London market and the wider global specialty (re)insurance industry. Our clients are insurance carriers, intermediaries and investors.

Clients engage ICMR for independent research by industry experts with a proven track record in delivering insights on markets, performance and valuations.

Our core capability is the assessment and modelling of performance and return profiles of (re)insurance entities and portfolios, both within Lloyd’s and globally.

ICMR.Matrix: Unique insight into Lloyd’s

ICMR.Matrix lets you understand Lloyd's competitive landscape.

ICMR.Matrix brings together data from syndicates' past financial statements with ICMR's outside-in view on individual syndicate's capital requirements (ECA) and estimates on price to book multiples from live capital markets data.

Book demo

Use cases

Clients use ICMR.Matrix for an independent assessment of syndicates' performance and value creation trajectory for:

Demonstrating value drivers to Lloyd's, NEDs, parent companies and investors
Pathfinding to top quintile / light touch status
Maximising value creation

RISX Index

The RISX Index is an equity benchmark for the global specialty (re)insurance sector and investments into the Lloyd’s of London market

Visit: www.risxindex.com

About RISX

The what and why

Factsheet

Summary of key statistics

White paper

Overview and background

ESG

Sharing risk for a more resilient world

Methodology

Selection and weighting process

Press Release

ICMR launches RISX Index with Moorgate Benchmarks

Research & Insights

ICMR suggests a sub-90% combined ratio for Lloyd’s based on ‘RISX’ index

Using the reported data of the RISX index constituents ICMR forecasts Lloyd’s will report best underwriting result since 2014

3 Mar 2023 3 min read Analysis, RISX

RISX equity index surge over the last quarter benefits proven leaders

Successful leaders and smart follow-onlys likely to benefit at the expense of a middle market squeeze

6 Feb 2023 2 min read Analysis, RISX

Lead versus follow in ownership of syndicates

Are follow-only strategies a smart alternative to the model of value through verticalisation?

6 Dec 2022 3 min read Value Creation, Analysis

To lead, or to follow ... that is the question!

Successful follow-only strategies can create more value than those of traditional leadership roles

1 Nov 2022 3 min read Analysis, RISX, Value Creation

Hedging tail risks through capital markets

Enhance solvency using swaps to take advantage immediately post-event

5 Oct 2022 3 min read Analysis, RISX

Lloyd’s syndicates as an investment market

ICMR’s mark-to-model valuation for Lloyd’s investments

14 Sep 2022 2 min read Analysis, RISX

Why brand-building is essential to growth

New research analysis conducted by Gracechurch and ICMR shows that leading insurance CEO’s should now treat brand development as …

13 Sep 2022 3 min read Analysis, Events

Insurance cycle has opened a window of opportunity for investments in Lloyd’s

To assess whether investments in Lloyd’s are worthwhile, investors’ expected returns must be compared against the weighted average cost …

1 Aug 2022 3 min read Analysis, RISX

What is the value of Lloyd’s and how does it change daily?

Those two simple questions motivated our research into how capital markets data could be used to provide answers on Lloyd’s valuation …

30 Jun 2022 4 min read RISX

When Private Equity met Lloyd’s

It’s all about enhancing performance and timing the exit

28 Apr 2022 3 min read Analysis, Value Creation

Has Lloyd’s finally conquered expenses?

Specialty (re)insurance is a difficult business to scale

19 Apr 2022 3 min read Analysis

Premiums trumps profitability for underwriters’ emoluments

A successful Lloyd’s underwriter is a good sales person first and foremost

11 Apr 2022 2 min read Analysis

Lloyd's 2021 combined ratio league table

Over 2/3 of Lloyd’s syndicates reported an underwriting profit

4 Apr 2022 2 min read Analysis

The tide may have turned at Lloyd’s, but headwinds remain strong

First look at Lloyd’s 2021 results

Last updated on 28 Mar 2022 2 min read Analysis

‘RISX’ index points to a Lloyd’s combined ratio for 2021 in the low 90s

ICMR’s estimate is based on the aggregated combined ratio of the RISX equity index constituents.

Last updated on 10 Mar 2022 1 min read Analysis, RISX

Specialty (re)insurance M&A - price to book multiple trends

RISX index suggests tidy return for Ascot’s investors

Last updated on 13 Dec 2021 2 min read Analysis, RISX, Value Creation

Positive earnings for 2021 priced-in despite major cat losses thus far

What do capital markets tell us about premium rate change for the global specialty (re)insurance industry?

27 Sep 2021 3 min read Analysis, RISX

RISX Index: more than just a benchmark

This article outlines some of the drivers behind the creation of the RISX index

10 Jun 2021 3 min read RISX, Value Creation

Press release: ICMR launches RISX Index with Moorgate Benchmarks

ICMR launches innovative new ‘(re)insurance specialty equity index’ and selects Moorgate Benchmarks as its administrator

24 May 2021 3 min read Press release, RISX

Third party capital vs building value: revolution or déjà vu?

With improving performance and an expanding range of options for investing, now may well be the best time for some while to be an …

13 May 2021 8 min read Events, Analysis, Value Creation

Signs of a turning tide at Lloyd's

Despite of another loss making year at Lloyd’s, signs of a hardening market are becoming visible

7 Apr 2021 4 min read Analysis, ICMR.Matrix

Value creation at Lloyd's: It's not all about the Underwriting Room

The market is buoyant about near term underwriting conditions, but just how important are they to cross-cycle value creation compared …

4 Jan 2021 5 min read Analysis, Value Creation

17 years of Lloyd's Performance Management

Was it worth it? Time will tell.

17 Nov 2020 3 min read ICMR.Matrix, Analysis

The Lloyd's 2021 $15bn stakes

ICMR.Matrix; a new tool to assess which syndicates are best placed to win the race for more new business

12 Oct 2020 3 min read ICMR.Matrix, Analysis

The reserving cycle and how to avoid it

The Casualty Actuarial Society publishes reserving paper using probabilistic programming

3 Sep 2020 3 min read Analysis

A new metric to assess the insurance cycle?

Research by ICMR shows that comparing stock performance of specialty re/insurance companies with the S&P 500 can provide new …

15 Jul 2020 4 min read Analysis

Lloyd’s return on capital: the good, the bad and the ugly

For the first time investors can review Lloyd’s syndicates’ return on capital and compare them directly with other re/insurers.

24 Jun 2020 2 min read Analysis

Follow the money: Lloyd's cumulative P&L over the last 20 years

Lloyd’s wrote £448bn of gross premiums since 2000, incurring gross claims to policyholders of £288bn, delivering a net combined …

28 Apr 2020 3 min read Analysis

Performance transition frequencies at Lloyd's

Maintaining performance is one thing, improving performance is a lot more challenging

21 Apr 2020 3 min read Analysis

Lloyd's combined ratio performance distribution

Only top quartile and very few second quartile performers achieved underwriting profits in 2019.

14 Apr 2020 2 min read Analysis

Value creation at Lloyd's

Materials from the cancelled joint LMA event 18 March 2020

8 Apr 2020 5 min read Events, Value Creation

Review of syndicates' results 2015 - 2019

You don’t have to be big to be successful, but you can get big if you are successful.

6 Apr 2020 2 min read Analysis

Lloyd’s 2019 results by syndicate: Bigger was better

In 2019 there were 110 syndicates, including special purpose arrangements (SPA), of which 105 stated positive GWP, with 56 breaking …

30 Mar 2020 2 min read Analysis

First look at Lloyd's results 2019: The tide hasn't turned yet

Today Lloyd’s released the 2019 pro-forma results for the market stating a profit of £2.5bn. This is a huge improvement to last …

26 Mar 2020 3 min read Analysis

Cancelled: Joint LMA event 18 March 2020

In response to the evolving COVID-19 situation “Value Creation at Lloyd’s” panel discussion will not go ahead on 18 March.

13 Mar 2020 1 min read Events

Joint event with LMA on Value Creation at Lloyd's

On 18 March together with the LMA we are organising a panel discussion on the topic of ‘Value Creation at Lloyd’s’

9 Mar 2020 1 min read Events

What does value creation mean in the Lloyd’s market?

Introducing the London Insurance Market Index

20 Jan 2020 3 min read Value Creation

About Insurance Capital Markets Research

The insurance and capital markets have existed in very close proximity for centuries. Yet, they drifted apart as each industry …

19 Jan 2020 3 min read

Experience

ICMR was founded by Lloyd’s former heads of research and analysis Quentin Moore and Markus Gesmann.

Markus and Quentin were instrumental in the establishment of the Performance Management framework at Lloyd’s. Their teams have developed and established many of the performance reports and data driven assessment tools used today.

Having also worked together in the capital markets, they founded ICMR in early 2020 and launched the RISX Index in 2021.

Markus Gesmann

[email protected]

A co-founder of ICMR, Markus has spent 20 years in both insurance and capital markets. He is the former head of analysis at Lloyd’s, where he set up a market wide analytical performance and price monitoring framework. Markus was head of pricing at an ILS joint venture with Lehman Brothers and Vario Partners, structuring innovative risk transfer solutions into capital markets.

Markus is an expert in modelling non-life insurance portfolios and probabilistic programming, and an Honorary Visiting Fellow at Bayes Business School, City, University of London.

Quentin Moore

[email protected]

A co-founder of ICMR, Quentin has over 30 years Lloyd’s and capital markets experience, including directorships of managing agencies and head of research at Lloyd’s where he co-authored Lloyd’s Performance Management template in the aftermath of Lloyd’s WTC losses of 2001, helping implement Lloyd’s capital modelling and risk management.

Quentin co-founded an ILS joint venture with Lehman Brothers as well as co-founding Bermuda-based ILS firm, Vario Partners. He has worked in insurance private equity, in investment banking and in actuarial consulting.

Case studies

Benchmarking

Helping a client to develop a range of peer company comparatives across both underwriting and corporate performance, which now forms part of both their internal and external reporting. This involved curating a wide range of data from public domain sources including through the use of AI.

New business development market sizing

Assisting a client with building their background knowledge of a new class of business, helping them understand past performance and the scale of market opportunity in order for them to build the business case for commencing underwriting.

Structuring / Portfolio modelling

Building a bespoke transaction loss model to support the client’s structuring of a portfolio risk transfer to investors. This involved significant client data manipulation from data room downloads, followed by developing and parameterising a Bayesian stochastic model.

Investor presentations and valuations

Helping a Lloyd’s client present their business to potential investors, enabling them to demonstrate their superior underwriting performance on a year of account basis translated to a calendar year basis. This included being able to demonstrate their “outside-in” mark-to-market valuation, based on real time public domain valuation data.

Understanding Lloyd’s data and training

Contributing to insurance industry training courses, introducing company market professionals to the Lloyd’s market and its data. This followed previous years courses which we designed for underwriting senior management and a course run as part of an actuarial MBA qualification. In addition, we have run courses for Lloyd’s market participants, showing the breadth of non-public domain data held at Lloyd’s which can assist them in their business planning.

New business start-ups

Supporting a number of new Lloyd’s market entrants with their application processes, principally from the perspective of how to use underwriting data to support business plans, and how to embed benchmarking within their ongoing management information systems.