Florida Hurricane Catastrophe Fund (FHCF)

Graphene provides a default built-in template for modelling conventional FHCF contracts. The default template for FHCF supports the following financial features:

• occurrence attachment and limit

  • The full occurrence attachment will apply to the 2 occurrences with the largest losses in a given trial.

  • 1/3 of the occurrence attachment will apply to the remaining occurrences.

• aggregate attachment and limit

• upfront premium income

• contract inception / expiration dates

• participation

• currency exchange

Structure

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

{
    "_schema": "FHCF_1.0",
    "inception_date": 1546300800,
    "expiration_date": 1577836800,
    "occurrence_attachment_value": 10000,
    "occurrence_limit_value": 30000,
    "aggregate_attachment_value": 20000,
    "aggregate_limit_value": 50000,
    "premium_value": 3000,
    "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.
premium_value	Yes	double	The amount of premium paid upfront in currency units. Premium 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 FHCF financial structure can produce 2 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.

References

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