PZU Group enters into proportional and non-proportional reinsurance contracts aiming to reduce liabilities arising from its core business. Reinsurance is exposed to credit risk associated with the risk that a reinsurer default on its obligations.
Assessment of reinsurers’ creditworthiness is conducted based on market data, information obtained from external sources and also based on an internal model. The model divides reinsurers into several classes, depending on the estimated risk level. A reinsurer will not be accepted if its risk is higher than a pre-defined cut-off point. The acceptance is not automatic and the analysis is supplemented by assessments by reinsurance brokers. In the credit risk monitoring process, this assessment is updated on a quarterly basis.
The following tables present the credit risk of the reinsurers that cooperated with PZU Group companies.
| Reinsurer | Reinsurers’ share in technical provisions (net) as at 31 December 2022 |
Best A.M.’s rating as at 31 December 2022 1) |
|---|---|---|
| Reinsurer 1 | 542 | A+ |
| Reinsurer 2 | 305 | A+ |
| Reinsurer 3 | 327 | brak ratingu |
| Reinsurer 4 | 181 | AA- |
| Reinsurer 5 | 170 | A+ |
| Reinsurer 6 | 164 | A+ |
| Reinsurer 7 | 148 | A |
| Reinsurer 8 | 136 | A+ |
| Reinsurer 9 | 117 | A++ |
| Reinsurer 10 | 93 | AA- |
| Others, including: 2) | 1 832 | |
| With investment-grade rating | 1 616 | |
| With sub-investment grade rating or unrated | 216 | |
| Total | 4 015 |
2)“Others” includes reinsurers’ shares in technical provisions if their carrying amounts are lower than those presented above.
| Reinsurer | Reinsurers’ share in technical provisions (net) as at 31 December 2021 |
Best A.M.’s rating as at 31 December 2021 1) |
|---|---|---|
| Reinsurer 1 | 268 | A+ |
| Reinsurer 2 | 215 | unrated |
| Reinsurer 3 | 168 | A+ |
| Reinsurer 4 | 129 | A++ |
| Reinsurer 5 | 126 | AA- |
| Reinsurer 6 | 117 | A+ |
| Reinsurer 7 | 89 | AA- |
| Reinsurer 8 | 76 | A+ |
| Reinsurer 9 | 58 | A+ |
| Reinsurer 10 | 50 | A+ |
| Others, including: 2) | 1 244 | |
| With investment-grade rating | 1 110 | |
| With sub-investment grade rating or unrated | 134 | |
| Total | 2 540 |
2) “Others” includes reinsurers’ shares in technical provisions if their carrying amounts are lower than those presented above.
Counterparty risk related to reinsurance is mitigated by the fact that the PZU Group cooperates with numerous reinsurers with reliable credit ratings.