Aggregate Excess of Loss (AggXL)

Graphene provides a default built-in template for modelling conventional Aggregate Excess Of Loss (AggXL) contracts. The default template for AggXL supports the following financial features:

• occurrence attachment and limit

• aggregate attachment and limit

• franchise deductible

• upfront premium income and brokerage expense

• contract inception / expiration dates

• participation

• currency exchange

Note

Even though the financial terms are specified as positive values, losses are assumed to be negative in Graphene, so they will be applied as if they are negative. Flowing only positive loss values into the structure will result in zero loss output.

Structure

The general structure of a default AggXL using the built-in template in Graphene is:

{
    "_schema": "AggXL_1.0",
    "inception_date": 1546300800,
    "expiration_date": 1577836800,
    "occurrence_attachment_value": 10000,
    "occurrence_limit_value": 30000,
    "aggregate_attachment_value": 20000,
    "aggregate_limit_value": 50000,
    "franchise_deductible_value": 15000,
    "premium_value": 3000,
    "brokerage": 0.1,
    "share": 0.2,
    "currency": "GBP"
}

Parameters

The parameters are defined as follows:

Parameter Name	Required	Type	Description
inception_date	Yes	double	Timestamp on which the contract incepts. The coverage period is inclusive of this time.
expiration_date	Yes	double	Timestamp on which the contract expires. The coverage period is exclusive of this time.
occurrence_attachment_value	Yes	double	The occurrence attachment or retention of the contract in currency units.
occurrence_limit_value	Yes	double	The occurrence limit of the contract in currency units.
aggregate_attachment_value	Yes	double	The aggregate attachment or retention of the contract in currency units.
aggregate_limit_value	Yes	double	The aggregate limit of the contract in currency units.
franchise_deductible_value	No	double	The occurrence franchise deductible of the contract in currency units.
premium_value	Yes	double	The amount of premium paid upfront in currency units. Premium is paid at time of inception.
brokerage	Yes	double	The percentage of brokerage paid on the upfront premium. Brokerage is paid at time of inception.
share	Yes	double	The share or participation assumed for this contract.
currency	No	string	The currency in which the input currency values (occurrence_attachment_value, occurrence_limit_value, aggregate_attachment_value, aggregate_limit_value, franchise_deductible_value, and premium_value) are defined. Defaults to the base currency if not set.

Output Records

The AggXL financial structure can produce 3 different types of records:

• Loss: Layered losses, that is losses that are covered by the contract. Losses generally have a negative value.

• Premium: Upfront premium paid at the time of inception. Premium is accounted for as a positive credit.

• BrokerageFee: Upfront premium brokerage paid at the time of inception. Brokerage is accounted as an expense debit with a negative value.

References

A detailed description of the financial modelling internals of the AggXL structure can be found in AggXL Share Financial Modelling Step-By-Step.