AXIS Capital : 2023 AXIS Loss Development Triangles

AXIS Capital Holdings Limited 2023 Global Loss Triangles

March 2024

Loss Development Triangle Cautionary Language

This report is for informational purposes only and is as of December 31, 2023. AXIS is under no obligation and does not expect to update or revise this report, whether as a result of new data and information, future events or otherwise, even when such new data have been reflected in the Company's filings with the U.S. Securities and Exchange Commission (the "SEC") or other disclosures. Although the loss development patterns disclosed in this report are an important factor in the process used to estimate loss reserve requirements, they are not the only factors we consider in establishing reserves. The inclusion of Compagnie Belge d'Assurances Aviation NV/SA ("Aviabel") and Novae Group Plc ("Novae") data respectively, for the 2017 through 2023 accident years only, within the loss development triangles will also lead to potential distortion of the loss development patterns that may be derived from these. The process for establishing reserves is subject to considerable variability and requires the use of informed estimates and judgments. Important details, such as specific loss development expectations for particular contracts, years, or events, cannot be developed solely by analyzing the information provided in this report. In addition to analyzing loss development data, we incorporate additional information into the reserving process, such as pricing and market conditions. Readers must keep these and other qualifications more fully described in this report in mind when reviewing this report. This report should be read in conjunction with other documents filed by AXIS Capital Holdings Limited ("AXIS" or the "Company") with the SEC, including our most recent Annual Report on Form 10-K and Quarterly Reports on Form 10-Q.

Cautionary Note Regarding Forward-Looking Statements

This report contains forward-looking statements within the meaning of section 27A of the Securities Act of 1933 and section 21E of the Securities Exchange Act of 1934. All statements, other than statements of historical facts included in this report, including statements regarding our estimates, beliefs, expectations, intentions, strategies or projections are forward-looking statements. We intend these forward-looking statements to be covered by the safe harbor provisions for forward-looking statements in the United States ("U.S.") federal securities laws. In some cases, these statements can be identified by the use of forward-looking words such as "may", "should", "could", "anticipate", "estimate", "expect", "plan", "believe", "predict", "potential", "intend" or similar expressions. These forward-looking statements are not historical facts, and are based on current expectations, estimates and projections, and various assumptions, many of which, by their nature, are inherently uncertain and beyond management's control.

Forward-looking statements contained in this report may include, but are not limited to, information regarding our estimates for losses and loss expenses, measurements of potential losses in the fair market value of our investment portfolio and derivative contracts, our expectations regarding the performance of our business, our financial results, our liquidity and capital resources, the outcome of our strategic initiatives including our exit from catastrophe and property reinsurance lines of business, our expectations regarding pricing, and other market and economic conditions including the liquidity of financial markets, developments in the commercial real estate market, inflation, our growth prospects, and valuations of the potential impact of movements in interest rates, credit spreads, equity securities' prices, and foreign currency exchange rates.

Forward-looking statements only reflect our expectations and are not guarantees of performance. These statements involve risks, uncertainties, and assumptions. Accordingly, there are or will be important factors that could cause actual events or results to differ materially from those indicated in such statements.

We undertake no obligation to update or revise publicly any forward-looking statements, whether as a result of new information, future events, or otherwise.

Summary of Risk Factors:

Investing in our common stock involves substantial risks, and our ability to successfully operate our business is subject to numerous risks, including those that are generally associated with operating in the insurance/reinsurance industry. Some of the more significant material challenges and risks include the following:

Insurance Risk

•  the cyclical nature of the insurance and reinsurance business leading to periods with excess underwriting capacity and unfavorable premium rates;

•  the occurrence and magnitude of natural and man-made disasters, including the potential increase of our exposure to natural catastrophe losses due to climate change and the potential for inherently unpredictable losses from man-made catastrophes, such as cyber-attacks;

•  the effects of emerging claims, systemic risks, and coverage and regulatory issues, including increasing litigation and uncertainty related to coverage definitions, limits, terms and conditions;

•  actual claims exceeding reserves for losses and loss expenses;

•  losses related to Russia's invasion of Ukraine, the Israel-Hamas conflict and the associated conflict in the Red Sea, terrorism and political unrest, or other unanticipated losses;

•  the adverse impact of social and economic inflation;

•  the failure of any of the loss limitation methods we employ;

•  the failure of our cedants to adequately evaluate risks;

•  the failure of the models used to support key decisions;

Strategic Risk

•  competition and consolidation in the insurance and reinsurance industry;

•  the potential deterioration in global economic conditions, including economic uncertainty and market turmoil;

•  underwriting and investment exposure in light of the recent disruption in the banking sector, which we expect to be within our risk appetite for an event of this nature;

•  changes in the political environment of certain countries in which we operate or underwrite business;

•  the loss of business provided to us by major brokers;

•  a decline in our ratings with rating agencies;

•  the loss of one or more of our key executives;

•  increasing scrutiny and evolving expectations from investors, customers, regulators, policymakers and other stakeholders regarding environmental, social and governance matters;

•  the adverse impact of contagious diseases including COVID-19 pandemic on our business, results of operations, financial condition, and liquidity;

Credit and Market Risk

•  the inability to purchase reinsurance or collect amounts due to us from counterparties, most materially reinsurers, but also including brokers, agents and customers;

•  the failure of our policyholders or intermediaries to pay premiums;

•  general economic, capital and credit market conditions, including banking and commercial real estate sector instability, financial market illiquidity and fluctuations in interest rates, credit spreads, equity securities' prices, and/or foreign currency exchange rates;

•  breaches by third parties in our program business of their obligations to us;

Liquidity Risk

•  the inability to access sufficient cash to meet our obligations when they are due;

Operational Risk

•  the failure of the processes, people or systems that we rely on to maintain our operations and manage the operational risks inherent to our business, including those outsourced to third parties;

•  changes in accounting policies or practices;

•  the use of industry models and changes to these models;

•  difficulties with technology and/or data security;

Regulatory Risk

•  changes in governmental regulations and potential government intervention in our industry;

•  inadvertent failure to comply with certain laws and regulations relating to sanctions, foreign corrupt practices, data protection, and privacy; and

Risks Related to Taxation

•  changes in tax laws.

Readers should carefully consider the risks noted above together with other factors including but not limited to those described under Item 1A, 'Risk Factors' in our most recent Annual Report on Form 10-K filed with the Securities and Exchange Commission ("SEC"), as those factors may be updated from time to time in our periodic and other filings with the SEC which are accessible on the SEC's website atwww.sec.gov.

TABLE OF CONTENTS
PAGE
I. PURPOSE AND SCOPE	1
II. DESCRIPTION OF DATA PRESENTED	2
i) General	2
ii) Acquisitions	2
iii) Accident Year Basis	2
iv) Selection of Lines of Business	3
v) Foreign Exchange	4
vi) Ceded Reinsurance	4
vii) Credit and Political Risk Reserving	4
viii) Additional Data Notes	4
III. RECONCILIATIONS	6
i) Reconciliation of Net Unpaid Losses and Loss Adjustment Expenses ("LAE")	6
ii) Reconciliation of Net Premium Earned	6
iii) Observations	7
IV. CONSOLIDATED LOSS TRIANGLES	8
i) Triangle Data	8
V. INSURANCE SEGMENT	11
i) Line of Business Descriptions	11
ii) Summary of Historical Reinsurance Protections	15
iii) Triangle Data	16
Consolidated	16
Property	19
Accident and Health	22
Marine and Aviation	25
Cyber	28
Professional Lines	31
Credit and Political Risk	34
Liability	37
VI. REINSURANCE SEGMENT	40
i) Lines of Business Descriptions	40
ii) Summary of Historical Reinsurance Protections	44
iii) Triangle Data	46
Consolidated	46
Accident and Health	49
Agriculture	52
Marine and Aviation	55
Professional Lines	58
Credit and Surety	61
Motor	64
Liability	73
Run-off lines	76
VII. SELECTED DISCLOSURES FROM 2023 ANNUAL REPORT ON FORM 10-K	79
VIII. GLOSSARY	83

I. PURPOSE AND SCOPE

This is AXIS' annual publication of loss development triangles, providing updated information for our insurance and reinsurance segments as of December 31, 2023. The information presented in this document is designed to enhance the understanding of the loss development characteristics of our business and provide further insight into the general pattern of loss payment and loss reporting for each of our lines of business.

Those reviewing this document should be aware that loss payment and loss reporting patterns are not the only considerations in establishing loss reserves. We caution that an attempt to evaluate our loss reserves using solely the data presented in this document could be misleading. The accident year data presented in this document represents a high-level summary of the data we use for our own loss reserve evaluations. Important details, such as specific loss development expectations for particular contracts, years, or events cannot be developed by solely analyzing information at this level. Furthermore, in addition to analyzing loss development data, we incorporate other information, such as pricing and market conditions, in our loss reserve analysis. Section VII provides a high-level description of our reserving processes.

We strongly recommend that the reader refer to the data discussion in Section II before attempting to use the data for further analysis.

We also caution strongly against mechanical application of standard actuarial methodologies to project ultimate losses and loss reserves using triangles presented in this report. Mechanical application of reserving methods will fail to take into account several important factors including the following:

•  Pricing conditions change over the years. The extrapolation of loss ratios from prior periods to current conditions would not be appropriate.

•  Several lines of business are affected by the presence of large losses, including catastrophes. Loss development for years with a sizeable component of large losses may differ significantly from those years unaffected by large losses.

•  The composition of the portfolio has changed over time for most lines of business. In some cases, these changes have been material. Trends derived from a summary of loss development data cannot capture all these changes. Sections V(i) and VI(i) provide a high-level summary of key changes in the underlying business composition in each of the lines of business.

Without incorporating this and other critical information, inferences derived from a direct extrapolation of loss development triangles in this report have the potential to produce inappropriate results.

II. DESCRIPTION OF DATA PRESENTED

All premium data included in this document are for calendar years 2014 and subsequent while loss data are for accident years 2014 and subsequent.

• i) General

  This document provides accident year summary exhibits on gross, ceded, and net bases as of December 31, 2023. These summaries include written and earned premiums, paid losses, case reserves, case incurred losses, incurred but not reported losses ("IBNR"), ultimate losses, and ultimate loss ratios. This document also provides net loss development triangles including paid loss data, case incurred loss data, IBNR, and ultimate losses. Allocated loss adjustment expenses are included in each loss amount. Data are presented in thousands of U.S. dollars, and unpaid losses and loss expense reserves are undiscounted.

  Refer to Section III (i) and III (ii) for a reconciliation of the loss reserves and net premiums earned, respectively, in the loss development triangles to those presented in our consolidated financial statements at December 31, 2023.

• ii) Acquisitions

On April 1, 2017, we acquired Aviabel, a Belgian insurer whose main lines of business include general aviation, airlines, products and manufacturers, airports, and treaty reinsurance.

On October 2, 2017, we acquired Novae, a diversified property and casualty (re)insurance business operating through Syndicate 2007 at Lloyd's of London.

The 2017 and subsequent accident years for both acquisitions are reflected in the loss development triangles in line with their respective acquisition dates. For the legacy Novae business, this approach includes all premiums written and earned after the acquisition date, all paid loss and loss expense transactions after the acquisition date, and the outstanding loss and loss expense reserve balance assumed as part of the acquisition. The reserve balance for the 2017 accident year is inclusive of all reserves for the accident year including losses incurred before the acquisition date, while paid losses and premiums are limited to transactions on and after October 2, 2017. It should be noted that a mechanical application of standard actuarial methodologies will fail to take into account the intricacies related to the inclusion of Novae for the 2017 accident year given the differences in premium and paid loss transactions compared to loss and expense reserves.

iii) Accident Year Basis

Our loss development triangles and summary exhibits are presented on an accident year basis for both our insurance and reinsurance segments. We primarily rely on accident year information for our insurance segment (excluding Lloyd's lines of business) reserve analysis. In our reinsurance segment and Lloyd's lines of business, we generally utilize underwriting year information for our reserve analysis and subsequently allocate paid losses and reserves to respective accident years for reporting purposes. Beginning with our 2013 loss development triangles, we show incremental development data only for the latest ten accident years, which is consistent with the presentation format followed by the SEC Form 10-K.

There are unique challenges for the insurance and reinsurance segments when presenting accident year loss development triangles.

•  Insurance segment: The multi-year nature of the credit and political risk business within our insurance segment inherently distorts results when a single accident year is reviewed in isolation. The premium we receive on these contracts is generally earned evenly over the contract term, thus spanning multiple accident years. In contrast, losses incurred on these contracts, which can be characterized as low in frequency and high in severity, are reflected in a single accident year (the year during which loss event

occurred). When a loss exhausts our exposure on a credit and political risk contract, we accelerate the recognition of any remaining unearned premium where we are entitled to it. As a result of these characteristics, comparative analyses on a single accident year basis for this business are less meaningful than those for other lines of business. The results of our credit and political risk business are more appropriately and meaningfully analyzed on an inception-to-date basis.

•  Reinsurance segment: The main difficulty in presenting accident year loss development triangles for the reinsurance segment relates to the allocation of loss information on proportional treaties to the appropriate accident years. As an example, many proportional treaty reinsurance contracts are submitted using quarterly bordereau reporting by underwriting year, with a supplemental listing of large losses. The large losses can be accurately allocated to the corresponding accident years. However, the remaining losses can generally only be allocated to accident years based on estimated premium earning and loss reporting patterns. We note that similar difficulties in allocating losses to accident years are also encountered on Insurance MGA business because losses are also generally reported using bordereau statements. To the extent management's assumptions and allocation procedures differ from the actual loss development patterns, the actual loss development may differ materially from the loss development presented in this report.

Refer to the Glossary in Section VIII for definitions of accident year and underwriting year. iv) Selection of Lines of Business

The Global Loss Triangles are provided for consolidated lines of business, seven for our insurance segment and eight for our reinsurance segment, as follows:

Insurance Segment

Property

Accident and health

Marine and aviation

Cyber

Professional lines

Credit and political risk

Liability

Reinsurance Segment

Accident and health Agriculture

Marine and aviation Professional lines Credit and surety

Motor (subdivided between proportional and non-proportional treaty business) Liability

Run-off lines (Catastrophe, Property, Engineering)

We analyze loss development trends based on data at a much lower granularity than the consolidated lines of business included in this document. The lower granularity allows us to reserve for business that shares similar loss development characteristics. Each consolidated class above combines multiple underlying lines of business with varying development profiles and exposure bases. It should be noted that the difference in granularity between our internal analyses and any analyses based on the data presented in this document may yield significantly different results. Further details on the nature of the business included within each of the classes above are provided in Sections V(i) and VI(i) for Insurance and Reinsurance, respectively. The user should read these sections carefully as they provide important information on the nature of the underlying business as well as historical changes in business mix that impact the loss reserve analysis.

v) Foreign Exchange

Non-U.S. denominated data including premium and losses are converted at the year-end 2023 foreign exchange rate, i.e., exchange rates as of December 31, 2023. The approach used this year was adopted as part of the 2021 version of the Global Loss Triangles. The approach used for foreign exchange on premium data does not align with the published consolidated financial statements. However, we have converted the premium and losses on the same basis in this document to allow for sensible ultimate loss ratio calculations.

vi) Ceded Reinsurance

Reinsurance premiums ceded are expensed over the period for which the reinsurance coverage is provided. Where possible, reinsurance premiums ceded are directly allocated to the specific lines of business covered. When aggregate or whole account protection (covering multiple lines of business) has been purchased, the reinsurance premiums ceded have generally been allocated to the underlying lines of business in proportion to the respective gross premiums written.

vii) Credit and Political Risk Reserving

An important and distinguishing feature of many of our insurance segment's credit and political risk policies is our contractual right, subsequent to loss payment to our insured, to be subrogated to, or otherwise have an interest in, the insured's rights of recovery under an insured loan or facility agreement. These estimated recoveries are recorded as an offset to credit and political risk gross loss reserves. The lag between the date of a loss payment and the ultimate recovery from the corresponding security can result in negative case reserves at a point in time (as was the case at December 31, 2023).

The nature of the underlying collateral is specific to each transaction. Therefore, we estimate the value of this collateral on a contract-by-contract basis. This valuation process is inherently subjective and involves the application of management's judgment because active markets for the collateral often do not exist. Estimates of values are based on numerous inputs, including data and information provided by our insureds, as well as third-party sources including rating agencies and asset valuation specialists, and on other publicly available data and information. We also assess any post-event circumstances, including restructurings, liquidations, and possession of asset proposals/agreements.

In some instances, on becoming aware of a loss event related to our credit and political risk business, we negotiate a final settlement of all of our policy liabilities for a fixed amount. In most circumstances, this occurs when the insured moves to realize the benefit of the collateral that underlies the insured loan or facility and presents us with a net settlement proposal that represents a full and final payment by us under the terms of the policy. In consideration for this payment, we secure a cancellation of the policy, or a release of all claims for losses, and waive our right to pursue a recovery of these settlement payments against the collateral that may have been available to us under the insured loan or facility agreement. In certain circumstances, cancellation by way of net settlement or full payment can result in an adjustment to the premium associated with the policy.

Additionally, when we consider prior year reserve development for the credit and political risk business, it is important to note that the multi-year nature of this business distorts loss ratios when a single accident year is considered in isolation. Premiums for these contracts generally earn evenly over the contract term and, therefore, are reflected in multiple accident years. In contrast, losses incurred on these contracts, which can be characterized as low in frequency and high in severity, are reflected in a single accident year.

viii) Additional Data Notes

Unallocated Loss Adjustment Expenses

Unallocated loss adjustment expenses have been removed from all exhibits, consistent with the treatment in the Form 10-K triangles.

Retroactive Accounting Transactions

On September 22, 2023, we entered into an agreement, with an effective date of January 1, 2023, to retrocede a diversified portfolio of casualty reinsurance business to Monarch Point Re. The agreement covers losses both on a prospective basis and on a retroactive basis. Therefore, we have bifurcated the prospective and retroactive elements of the agreement and are accounting for each element separately.

On December 9, 2022, we entered into loss portfolio transfer reinsurance agreements with a third-party reinsurer to reinsure several of our professional lines and liability insurance portfolios, predominantly relating to 2019 and prior accident years.

On December 15, 2019, we entered into a quota share retrocessional agreement with Harrington Re Ltd. ("Harrington Re"), a related party, to reinsure select European motor non-proportional reinsurance business, predominantly relating to 2015 and prior accident years.

On April 16, 2018, we entered into a quota share retrocessional agreement with Harrington Re to reinsure select international motor non-proportional reinsurance business, predominantly relating to 2013 and prior accident years.

These transactions were deemed to have met the established criteria for retroactive reinsurance accounting including the retroactive portion of the Monarch Point Re transaction. The triangles included in this document are presented gross of these transactions and historical premium, paid loss, case incurred loss, and IBNR data associated with lines of business included in the transactions are included in the data. Section III includes a reconciliation of our consolidated financial statements and the data included in the Global Loss Triangles including the impact of retroactive transactions.

AXIS Specialty Australia

The premium and losses associated with AXIS Specialty Australia have been removed from all loss development triangles, impacting accident years 2015 and prior. AXIS Specialty Australia ceased writing business on October 8, 2015 and was placed into run-off. On April 28, 2016, AXIS Specialty Australia entered a 100% quota share adverse development reinsurance cover with a reinsurer regulated by FINMA and APRA. The scheme for the transfer of the insurance business of AXIS Specialty Australia was approved by the Irish High Court on February 1, 2017 and was approved by the Federal Court of Australia on February 10, 2017. We no longer have any loss exposure to this book of business.