AIR Provides Modeling Support for the Helix Catastrophe Bond Launched by Converium.Business Editors BOSTON--(BUSINESS WIRE)--June 15, 2004 AIR's NWP-based European Extratropical Cyclone extratropical cyclone See under cyclone. Model Used to Assess Risk to European Exposures AIR Worldwide Corporation (AIR) today announced it has performed the risk modeling and analysis in support of a private placement by Helix 04 Limited, a Bermuda special purpose exempted company. The five year, $100 million transaction provides catastrophe cover to Converium Ltd. for potential losses from European windstorm A European windstorm is a severe cyclonic storm that tracks across the North Atlantic towards northwestern Europe in the winter months. These storms usually track over the north coast of Scotland towards Norway but can veer south to affect other countries including England, Wales, , U.S. earthquake, U.S. and Caribbean hurricane and Japanese earthquake. Aon Capital Markets underwrote the transaction and placed the notes. Helix follows on from but is broader than Trinom, a catastrophe bond catastrophe bond A debt security with a payoff tied to the relative severity of a natural disaster such as a hurricane or earthquake. Bondholders are paid with insurance premiums but may have to accept reduced principal repayment in the event the specified launched in 2001 that was also modeled by AIR. By means of a counterparty contract the transaction provides Converium Ltd.'s Bermuda branch with protection against the occurrence of second and subsequent events in four peril regions. A significant amount of these exposures are in Europe, a region subject to severe winter windstorms, more technically referred to as extratropical cyclones. Helix's European windstorm risk was analyzed using AIR's European Extratropical Cyclone model. The model incorporates the latest advances in AIR's Numerical Weather Prediction Numerical weather prediction uses mathematical models of the atmosphere to predict the weather. Manipulating the huge datasets and performing the complex calculations necessary to do this on a resolution fine enough to make the results useful can require some of the most powerful (NWP NWP Numerical Weather Prediction NWP National Writing Project NWP Nationwide Permit NWP Northwest Passage NWP Netherlands Water Partnership NWP National Women's Party NWP New Wafd Party (Egypt) NWP Neighborhood Watch Program ) capabilities, a forecasting methodology used by all major meteorological me·te·or·ol·o·gy n. The science that deals with the phenomena of the atmosphere, especially weather and weather conditions. [French météorologie, from Greek agencies around the world. "AIR's NWP-based model operates at the highest degree of resolution possible in analyzing windstorm wind·storm n. A storm with high winds or violent gusts but little or no rain. windstorm A storm with high winds or violent gusts but little or no rain. risk for European exposures. NWP constructs a more realistic picture of European windstorm evolution than statistical models, and more accurately depicts the time-dependent, three-dimensional structure of the winds associated with these storms," said S. Ming Lee, senior vice president at AIR Worldwide. "The model's combination of NWP and country-specific damage functions provides increased accuracy in modeled losses." Trinom and Helix are the first risk-linked securities to be modeled using NWP, which incorporates comprehensive environmental physics and sophisticated computational techniques to simulate a full range of atmospheric phenomena. AIR's implementation of NWP captures multiple high pressure ridges, low pressure troughs, fronts, and strong jet stream winds that interact to produce the most damaging winds within European windstorms. AIR's engineering team combined onsite analysis with loss data from actual storms to develop the damage estimation A preliminary appraisal of the potential effects of an attack. See also attack assessment. component of the AIR European Extratropical Cyclone model. Variations in historical storm experience have prompted different construction techniques and building practices across the region. AIR engineers have taken these variations into account, developing separate damage functions for each modeled country and, where appropriate, for different regions within countries. Helix marks the first time AIR's Japan earthquake and Caribbean hurricane models have been used to assess risk for catastrophe bonds. Other models used in the analysis include AIR's U.S. hurricane and earthquake models. Analyses were conducted using AIR's CLASIC/2(TM) and CATRADER(R) software applications. About AIR Worldwide Corporation AIR Worldwide Corporation (AIR) is a leading risk modeling company helping clients manage the financial impact of catastrophes and weather. Utilizing the latest science and technology, AIR models natural catastrophes in more than 40 countries and the risk from terrorism in the United States A common definition of terrorism is the systematic use or threatened use of violence to intimidate a population or government and thereby effect political, religious, or ideological change. . Other areas of expertise include site-specific seismic engineering analysis, catastrophe bonds, and property replacement cost valuation. A member of the ISO (1) See ISO speed. (2) (International Organization for Standardization, Geneva, Switzerland, www.iso.ch) An organization that sets international standards, founded in 1946. The U.S. member body is ANSI. family of companies, AIR was founded in 1987 to provide its insurance, reinsurance The contract made between an insurance company and a third party to protect the insurance company from losses. The contract provides for the third party to pay for the loss sustained by the insurance company when the company makes a payment on the original contract. , corporate and government clients a complete line of risk modeling software and consulting services that produce consistent and reliable results. Headquartered in Boston, AIR has additional offices in North America, Europe and Asia. For more information, please visit www.air-worldwide.com. |
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