The ILS loss experience: natural catastrophe issues 2001–2020

“If there were no losses; there would be no premiums,” Insurance proverb. This paper analyzes the history of natural catastrophe Insurance-Linked Securities (ILS), or Cat Bonds (CB), from 2001 to 2020. Preliminary analyses summarize the annual character of issuance during that period, providing context for the principal focus of the paper, which is losses. A detailed loss record is provided, including why and when losses occurred. This record, when set against the historic issuance, allows us to address several important questions, unaddressed in the literature but constantly posed by practitioners. Does the cumulative loss over 20 years equal what catastrophe models led to us expect? Were the relative sizes of actual losses reflective of expected losses? Most importantly, does the loss record support the idea that natural catastrophe models are accurate and useful? This paper is the first to specifically address these fundamental forensic questions against the loss record. It thereby makes an important contribution to the growing literature about ILS markets.