Risk Exceedance Models

Portfolio level stochastic modelling

We build transaction-specific capital models, both for live businesses and for run-off risk portfolios

We undertake testing of internal capital model output for reasonableness as well as business plan loss ratio assumption testing

We build independent acquisition transaction models


  • Developed and built stochastic models to price risk transfer of whole portfolios
  • Developed Lloyd's underwriting benchmarking and deeply involved in capital modelling, after leading Lloyd's internal research and analysis function cumulatively for over 10 years
  • Built some of Lloyd's internal models and currently maintain individual syndicate and market level performance and capital models along with parameterisation by business line
  • Published software for claims reserving, data visualisation and exposure rating