Captive reinsurers (in the general insurance context) are used by many large multinational insurance companies to cut down reinsurance cost and improve capital efficiency.

I'm looking into a problem (for an actuarial exam) that I don't know how to solve. The problem is:
1. There is no separete credit rating for the captive reinsurer. The group has a AA rating.
2. To calculate the outstanding claims provision, I need to allow for the reinsurer default risk in the reinsurance recoveries. This is done based on credit rating for a reinsurer
3. Therefore I need to assign a credit rating to the captive
4. The group has given public statements that it will inject capital whenever needed, but this is not a legal requirement.
5. Group's policy is for all subsidiarys to reinsure lower layers of risks to the captive and only buy external reinsurance at the top layers.

The task:
I need to assign a credit rating to the capitve, and justify why it is reasonable.

Any suggestions?

I find that I don't know enough about how captives work, especially about the capital management issue. Anyone knows anything about captives?