Private export credit insurance—covering the risk of nonpayment—plays an important role in facilitating international trade, especially within Europe. Due to lack of data, however, little is known about the influence of loss shocks on export credit insurance markets. This article studies the effect of claims on the availability and premium of export credit insurance, using unique bilateral country‐level data covering worldwide insurance underwriting from 1992 to 2006 by a leading trade credit insurance group. Applying fixed effects models at the country subsidiary level, I find that a doubling of the claims ratio on insured exports between a pair of countries results, on average, in a decline in the subsidiary's share of bilateral exports insured by about 11 percent and rise in premium level by about 4 percent. These claims effects increase when the insurer makes a loss and rise with the size of the loss. Importantly, evidence shows that an extreme loss shock in one market also increases the claims sensitivity of insurance coverage on exports to other markets, suggesting a role for capital constraints. Overall, these results help our understanding of potential trade finance constraints in times of crisis, such as during the 2008–2009 global trade collapse.