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Allianz Annual Report 2012

Annual Report 2012    Allianz Group Credit risk – credit insurance Our credit insurance portfolio is modeled by Euler Hermes based on a proprietary model reviewed by ­Allianz Group Risk. The result is integrated into the Group’s internal credit risk model to capture the concentration and diversification effects. As of 31 December 2012, 10.4 % of our total Group pre- diversified internal credit risk capital was allocated to Euler Hermes credit insurance exposures. Underwriting risk Underwriting risks consist of premium and reserve risks in the Property-Casualty segment as well as biometric risks in our Life/Health segment. For the Asset Management seg- ment and our banking operations, underwriting risks are not relevant. Risks transferred by internal reinsurance to the Group are generally allocated to the Property-Casualty or the Life/Health segment. However the Corporate and Other segment provides a “Keep Well Commitment” that transfers small parts of the underwriting risk from Fire- man’s Fund Insurance Co. Credit risk – reinsurance As of 31 December 2012, 2.1 % of our total Group pre-diversi- fiedinternalcreditriskcapitalwasallocatedtoreinsurance exposures – 57.5 % of which was related to reinsurance counterparties in the United States and Germany. Adedicatedteamselectsourreinsurancepartnersfocusing on companies with strong credit profiles. We may also re- quire letters of credit, cash deposits or other financial mea- sures to further mitigate our exposure to credit risk. As of 31 December 2012, 76.4 % (2011: 77.6 %) of the ­Allianz Group’s reinsurancerecoverablesweredistributedamongreinsurers that had been assigned at least an A rating by Standard & Poor’s. Non-rated reinsurance recoverables represented 21.7 % (2011: 21.6 %) of the total reinsurance recoverables as of 31 December 2012. Reinsurance recoverables without Standard & Poor’s rating include exposures to brokers, companies in run-off and pools – where no rating is avail- able – as well as companies rated by A.M. Best. Reinsurance recoverables by rating class1 as of 31 December 2012 C 097 Total: € 12.5 bn € bn 20 4 6 0.02 A+ to A– AA+ to AA- BBB+ to BBB- Non-investment grade Not assigned AAA 6.05 3.50 0.21 0.02 2.72 1 Represents gross exposure broken down by reinsurer. 202