The Handbook of Insurance-Linked Securities
(Sprache: Englisch)
This book provides a much needed reference for finance practitioners on the rapidly growing Insurance Linked Securities markets. It will provide readers with the state of the art in Insurance-Linked Securitization, introducing the different parties involved...
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Klappentext zu „The Handbook of Insurance-Linked Securities “
This book provides a much needed reference for finance practitioners on the rapidly growing Insurance Linked Securities markets. It will provide readers with the state of the art in Insurance-Linked Securitization, introducing the different parties involved in the transactions and their roles, the motivation for the transaction sponsors, the potential inherent pitfalls, the latest developments and transaction structures but also the key challenges faced by the market at each stage. The book will also focus on more general issues faced by the industry, including accounting and tax issues, regulatory issues and solvency capital requirements - all tackled from international perspectives.The book will be organized into two parts making a distinction between non-life and life securitization in order to accommodate the specificities of each sector. Each chapter covers a specific topic or sector of the market. After a general overview over the ILS market, the Insurance-Linked Securitization process is studied in detail.
Contributions will be from leading practitioners in the field, and will feature case studies and worked examples to illustrate more complicated transactions and techniques.
This book provides a much needed reference for finance practitioners on the rapidly growing Insurance Linked Securities markets. It will provide readers with the state of the art in Insurance-Linked Securitization, introducing the different parties involved in the transactions and their roles, the motivation for the transaction sponsors, the potential inherent pitfalls, the latest developments and transaction structures but also the key challenges faced by the market at each stage. The book will also focus on more general issues faced by the industry, including accounting and tax issues, regulatory issues and solvency capital requirements - all tackled from international perspectives.
The book will be organized into two parts making a distinction between non-life and life securitization in order to accommodate the specificities of each sector. Each chapter covers a specific topic or sector of the market. After a general overview over the ILS market, the Insurance-Linked Securitization process is studied in detail.
Contributions will be from leading practitioners in the field, and will feature case studies and worked examples to illustrate more complicated transactions and techniques.
The book will be organized into two parts making a distinction between non-life and life securitization in order to accommodate the specificities of each sector. Each chapter covers a specific topic or sector of the market. After a general overview over the ILS market, the Insurance-Linked Securitization process is studied in detail.
Contributions will be from leading practitioners in the field, and will feature case studies and worked examples to illustrate more complicated transactions and techniques.
Inhaltsverzeichnis zu „The Handbook of Insurance-Linked Securities “
ContentsAbout the Contributors
Acknowledgements
1 Introduction
Pauline Barrieu and Luca Albertini
PART I NON-LIFE SECURITISATION
2 Non-life Insurance Securitisation: Market Overview, Background and Evolution
Jonathan Spry
3 Cedants' Perspectives on Non-life Securitization
3A Insurance-linked securities as part of advanced risk intermediation
Insa Adena, Katharina Hartwig and Georg Rindermann
3B Reinsurance vs Securitisation
Guillaume Gorge
3C Securitisation as a diversification from traditional retrocession
Jean-Luc Besson
4 Choice of Triggers
Dominik Hagedorn, Christian Heigl, Andreas Müller and Gerold Seidler
4.1 General aspects
4.2 Indemnity triggers
4.3 Non-indemnity triggers
4.4 Choosing the optimal trigger
5 Basis Risk from the Cedant's Perspective
David Ross and Jillian Williams
5.1 Introduction
5.2 Investor vs sponsor risk
5.3 Trigger types
5.4 Catastrophe models
5.5 Sources of basis risk
5.6 Defining basis risk
5.7 Quantifying basis risk
5.8 Minimising basis risk
5.9 Conclusion
Acknowledgements
References
6 Rating Methodology
Cameron Heath
6.1 Standard & Poor's ratings services' rating process
6.2 Risk analysis
6.3 Legal and swap documentation review process
6.4 Impact on sponsor
References
7 Risk Modelling and the Role and Benefits of Cat Indices
Ben Brookes
7.1 Components of a cat model
7.2 Insurance-linked securities
7.3 Cat indices
7.4 Summary
8 Legal Issues
Malcolm Wattman, Matthew Feig, James Langston, and James Frazier
8.1 The note offering - federal securities law
... mehr
implications
8.2 The note offering - the offering circular
8.3 Types of transactions
8.4 Conclusion
9 The Investor Perspective (Non-Life)
Luca Albertini
9.1 The creation of a sustainable and liquid market
9.2 Key transaction features from the investor perspective
9.3 Market evolution: the investor perspective
10 ILS Portfolio Monitoring Systems
Tibor Winkler and John Stroughair
10.1 Introduction
10.2 Miu - An ILS platform in a convergent space
10.3 RMS library of cat bond characterisations
10.4 Conclusion
11 The Evolution and Future of Reinsurance Sidecars
Douglas J. Lambert and Kenneth R. Pierce
11.1 A brief history of the brief history of sidecars
11.2 Sidecar structures
11.3 The appeal of sidecars
11.4 Structuring considerations
11.5 The outlook for sidecars
11.6 Conclusion
12 Case Study: A Cat Bond Transaction by SCOR (Atlas)
Emmanuel Durousseau
12.1 Introduction: SCOR's recent history
12.2 Atlas III and IV: Background
12.3 Atlas: Main characteristics
12.4 Basis Risk
12.5 Total Return Swap
12.6 Conclusion
Appendix A
A.1 Definition of events
A.2 Extension events
13 Case Study: Swiss Re's New Natural Catastrophe Protection Program (Vega)
Jay Green and Jean-Louis Monnier
13.1 A positive evolution of Swiss Re's ILS strategy
13.2 Swiss Re accesses multi-event natural catastrophe cove
8.2 The note offering - the offering circular
8.3 Types of transactions
8.4 Conclusion
9 The Investor Perspective (Non-Life)
Luca Albertini
9.1 The creation of a sustainable and liquid market
9.2 Key transaction features from the investor perspective
9.3 Market evolution: the investor perspective
10 ILS Portfolio Monitoring Systems
Tibor Winkler and John Stroughair
10.1 Introduction
10.2 Miu - An ILS platform in a convergent space
10.3 RMS library of cat bond characterisations
10.4 Conclusion
11 The Evolution and Future of Reinsurance Sidecars
Douglas J. Lambert and Kenneth R. Pierce
11.1 A brief history of the brief history of sidecars
11.2 Sidecar structures
11.3 The appeal of sidecars
11.4 Structuring considerations
11.5 The outlook for sidecars
11.6 Conclusion
12 Case Study: A Cat Bond Transaction by SCOR (Atlas)
Emmanuel Durousseau
12.1 Introduction: SCOR's recent history
12.2 Atlas III and IV: Background
12.3 Atlas: Main characteristics
12.4 Basis Risk
12.5 Total Return Swap
12.6 Conclusion
Appendix A
A.1 Definition of events
A.2 Extension events
13 Case Study: Swiss Re's New Natural Catastrophe Protection Program (Vega)
Jay Green and Jean-Louis Monnier
13.1 A positive evolution of Swiss Re's ILS strategy
13.2 Swiss Re accesses multi-event natural catastrophe cove
... weniger
Autoren-Porträt
Dr PAULINE BARRIEU is a Reader (associate professor) at the London School of Economics. She has two PhDs in Mathematics and in Finance. Her research interests are mainly on the study of problems at the interface between finance and insurance, in particular ILS. She also works on quantitative methods for risk measurement and robust decision taking, with applications in finance and environmental economics.LUCA ALBERTINI is Chief Executive Officer of Leadenhall Capital Partners, an asset management company dedicated to insurance linked investments strategies. Luca has over 16 year's securitisation experience, having worked at Citibank, GE Capital, Credit Suisse First Boston and at Swiss Re, where he became responsible for the European Insurance Linked Securities team.
Bibliographische Angaben
- 2009, 1. Auflage, 384 Seiten, Maße: 17,6 x 25,1 cm, Gebunden, Englisch
- Herausgegeben: Pauline Barrieu, Luca Albertini
- Verlag: Wiley & Sons
- ISBN-10: 0470743832
- ISBN-13: 9780470743836
- Erscheinungsdatum: 27.08.2009
Sprache:
Englisch
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