The handbook of insurance linked securities:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Chichester
Wiley
2009
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | Includes bibliographical references and indexes |
| Beschreibung: | XXIV, 372 S. graph. Darst., Kt. |
| ISBN: | 9780470743836 |
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| 245 | 1 | 0 | |a The handbook of insurance linked securities |c ed. by Pauline Barrieu and Luca Albertini |
| 246 | 1 | 3 | |a The handbook of insurance-linked securities |
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| 300 | |a XXIV, 372 S. |b graph. Darst., Kt. | ||
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| 700 | 1 | |a Albertini, Luca |e Sonstige |4 oth | |
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Datensatz im Suchindex
| _version_ | 1804140672433782784 |
|---|---|
| adam_text | Titel: The handbook of insurance-linked securities
Autor: Barrieu, Pauline
Jahr: 2009
Contents
About 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
2.1 Market overview
2.2 Market dynamics
2.3 The question of basis risk remains
2.4 ILS and the credit crunch
3 Cedants Perspectives on Non-life Securitization
3 A Insurance-linked securities as part of advanced risk intermediation
Insa Adena, Katharina Hartwig and Georg Rindermann
3 A. 1 Motivation for Allianz to take part in ILS activities
3 A.2 Objectives of insurance companies
3A.3 Case study: Blue Fin Ltd
References
3B Reinsurance vs Securitisation
Guillaume Gorge
3B. 1 Keeping risk vs transferring it
3B.2 Reinsurance vs securitisation
3B.3 Application to main P C risks
3B.4 Case studies: Aura re and Sparc
3B.5 Limits and success factors to securitisation
References
3C Securitisation as a diversification from traditional retrocession
Jean-Luc Besson
Contents
4 Choice of TViggers 37
Dominik Hagedorn, Christian Heigl, Andreas Mtiller and Gerold Seidler
4.1 General aspects 37
4.2 Indemnity triggers 38
4.2.1 Scope of coverage 39
4.2.2 Payout timing 39
4.2.3 Loss verification 40
4.2.4 Transparency 40
4.3 Non-indemnity triggers 41
4.3.1 Parametric triggers (pure and index) 41
4.3.2 Industry loss triggers 43
4.3.3 Modelled loss triggers 45
4.4 Choosing the optimal trigger 45
4.4.1 Comparison of trigger types 46
4.4.2 Choice of trigger and alternative solutions 47
5 Basis Risk from the Cedant s Perspective 49
David Ross and Jillian Williams
5.1 Introduction 49
5.2 Investor vs sponsor risk 50
5.3 Trigger types 50
5.4 Catastrophe models 52
5.4.1 Key components of catastrophe models 52
5.4.2 Uncertainty 54
5.5 Sources of basis risk 55
5.5.1 Source 1: Catastrophe model error/shortcomings 55
5.5.2 Source 2: Discrepancy between the modelled index loss and the
modelled company loss 56
5.5.3 Source 3: Dynamic basis risk 56
5.6 Defining basis risk 56
5.7 Quantifying basis risk 58
5.7.1 Measures for pro rata hedges 58
5.7.2 Measures for digital hedges 59
5.7.3 Measuring positive basis risk 59
5.8 Minimising basis risk 60
5.8.1 Over-hedging 60
5.8.2 Choice of index 62
5.8.3 Reset clauses 62
5.8.4 Cat model input 63
5.9 Conclusion 63
Acknowledgements 63
References 64
6 Rating Methodology 65
Cameron Heath
6.1 Standard Poor s ratings services rating process 65
6.1.1 Initial interaction 65
6.1.2 Risk analysis 65
________________________________^_________________Contents vii
6.1.3 Documentation review 67
6.1.4 Transaction closing 67
6.1.5 Surveillance 67
6.2 Risk analysis 68
6.2.1 Trigger options 68
6.2.2 Indemnity vs non-indemnity triggers 68
6.2.3 Risk factors 70
6.2.4 Adjusted probability of default 72
6.2.5 Application of methodology 73
6.2.6 Default table 74
6.2.7 Multi-event criteria 74
6.3 Legal and swap documentation review process 75
6.3.1 Insurance focus points 75
6.3.2 Legal and structural focus points 75
6.4 Impact on sponsor 75
6.4.1 Capital model treatment of ILS 75
6.4.2 Summary of basis risk analysis 76
6.4.3 Sources of basis risk 77
6.4.4 Link to ILS revised probability of attachment 82
References 82
Risk Modelling and the Role and Benefits of Cat Indices 83
Ben Brookes
7.1 Components of a cat model 84
7.2 Insurance-linked securities 84
7.2.1 General overview 84
7.2.2 Insurance-linked security triggers 85
7.2.3 Basis risk 90
7.3 Cat indices 93
7.3.1 Property Claims Service (PCS) 93
7.3.2 Re-Ex - NYMEX 93
7.3.3 Insurance Futures Exchange Service (IFEX) 94
7.3.4 Carvill Hurricane Index (CHI) - Chicago Mercantile
Exchange (CME) 94
7.3.5 Paradex 95
7-4 Summary 99
Legal Issues 101
Malcolm Wattman, Matthew Feig, James Langston, and James Frazier
8.1 The note offering - federal securities law implications 101
8.1.1 The distribution of the notes ] °
8.1.2 Application of the anti-fraud provisions of the federal
securities laws
8.1.3 Securities offering reform 103
10^
8.1.4 Provision of information
8.1.5 The Investment Company Act of 1940 104
8.2 The note offering - the offering circular 04
8.2.1 Important terms ^
8.2.2 ERISA considerations 106
viii Contents
8.2.3 Other considerations regarding the proceeds and payment
of interest 109
8.2.4 The risk analysis 110
8.2.5 Opinions HO
8.3 Types of transactions 110
8.3.1 Parametric, index and modeled loss transactions 111
8.3.2 Indemnity transactions 111
8.4 Conclusion 115
9 The Investor Perspective (Non-Life) 117
Luca Albertini
9.1 The creation of a sustainable and liquid market 117
9.1.1 Creation of common terminology 118
9.1.2 Risk analysis 119
9.1.3 Correlation with other investments in the portfolio 119
9.1.4 Relative value 121
9.1.5 Valuation and liquidity 121
9.2 Key transaction features from the investor perspective 122
9.2.1 Assessment of the underlying risks being securitised 122
9.2.2 Risk assessment of the instrument 124
9.2.3 Pricing and risk-return profile 125
9.3 Market evolution: the investor perspective 127
9.3.1 Collateral arrangements 127
9.3.2 Data transparency 128
9.3.3 Exposure monitoring 129
9.3.4 Modelling rigour 129
10 ILS Portfolio Monitoring Systems 131
Tibor Winkler and John Stroughair
10.1 Introduction 131
10.1.1 Completing the circle 131
10.1.2 Square peg in a round hole? 132
10.2 Miu - An ILS platform in a convergent space 133
10.2.1 Overview 133
10.2.2 Nuts and bolts - how the platform works 133
10.2.3 Step by step - entering a contract 134
10.2.4 Portfolio analysis 134
10.3 RMS library of cat bond characterisations 137
10.3.1 Motivation and objectives 137
10.3.2 How is it done? A bird s eye view 137
10.3.3 Apples to apples - a leap for the market 138
10.4 Conclusion 138
11 The Evolution and Future of Reinsurance Sidecars 141
Douglas J. Lambert and Kenneth R. Pierce
11.1 A brief history of the brief history of sidecars 142
11.2 Sidecar structures 143
11.2.1 Basic structure 143
11.2.2 Market-facing sidecar 144
Contents
11.2.3 Non-market-facing sidecar 145
11.2.4 Capitalising sidecars 146
11.2.5 How sidecars and catastrophe bonds are different 147
11.3 The appeal of sidecars 148
11.3.1 From a cedant/sponsor perspective 148
11.3.2 From an investor perspective 149
11.4 Structuring considerations 149
11.5 The outlook for sidecars 150
11.6 Conclusion 151
12 Case Study: A Cat Bond Transaction by SCOR (Atlas) 153
Emmanuel Durousseau
12.1 Introduction: SCOR s recent history 153
12.2 Atlas III and IV: Background 153
12.3 Atlas: Main characteristics 155
12.4 Basis Risk 158
12.4.1 Reset 158
12.4.2 Gross up ]58
12.4.3 Overlap I58
12.4.4 Synthetic covers I59
12.5 Total Return Swap 160
12.6 Conclusion 160
Appendix A 161
A.I Definition of events 161
A.2 Extension events ^
13 Case Study: Swiss Re s New Natural Catastrophe Protection
Program (Vega) 163
Jay Green and Jean-Louis Monnier
13.1 A positive evolution of Swiss Re s ILS strategy 163
13.2 Swiss Re accesses multi-event natural catastrophe coverage 164
13.3 The first ILS to use a cash reserve account as credit enhancement 164
13.4 Innovation leads to more efficient protection 165
PART II LIFE SECURITISATION 167
14 Genera] Features of Life Insurance-Linked Securitisation 169
Norman Peard
14.1 Life insurer corporate and business structures, risks and products 170
14.1.1 Mutual life offices 10
14.1.2 Proprietary life offices
14.1.3 Other forms of life office 7i
14.1.4 Principal risks associated with life insurance business 73
14.1.5 Principal product types and associated risks 176
14.2 Actors and their roles
14.2.1 Sponsor ._„
14.2.2 Investors
Contents
14.2.3 Regulators 179
14.2.4 External professional advisers 179
14.2.5 Ratings agencies 181
14.2.6 Monoline insurers 181
14.2.7 Liquidity providers 181
14.2.8 Swap providers 182
14.2.9 Others 182
14.3 Process 182
15 Cedants Perspectives on Life Securitisation 189
15A A cedant s perspective on life securitisation 191
Alison McKie
15A.1 Why securitise? 191
15A.2 Life ILS can be complex 194
15A.3 Outlook for life ILS 198
15B A cedant s perspective on life securitisation 199
Chris Madsen
15B.1 Key considerations 199
15B.2 Examples of securitisation opportunities 202
15B.3 Differences between securitisation and reinsurance 205
16 Rating Methodology 207
Harish Gohil
16.1 Fitch s approach to the rating process 207
16.2 Insurance risk analysis 208
16.2.1 Risk modelling 208
16.2.2 Ratings benchmarks 209
16.2.3 Analysis of sponsor and other counterparties 210
16.2.4 Surveillance 210
16.3 Zest: a VIF case study 211
References 212
17 Life Securitisation: Risk Modelling 213
Steven Schreiber
17.1 Modelling of a catastrophic mortality transaction 213
17.2 Modelling of a VIF transaction 216
18 Life Insurance Securitisation: Legal Issues 219
Jennifer Donohue
18.1 Monetisation of future cash flows 219
18.1.1 Some background on monetisation 219
18.1.2 The market drivers of monetisation 220
18.1.3 Monetisation in the current climate 221
18.1.4 Some transaction structures 221
18.2 Legal aspects of life insurance securitisation - some key features 222
18.2.1 Closed book/open book 222
18.2.2 Unit-linked policies - not with profits policies 222
Contents xi
18.2.3 Risk transfer versus no transfer 222
18.2.4 Warranties 222
18.2.5 Monoline wrap (payment obligation) 223
18.2.6 Recharacterisation risk 223
18.3 Some examples of value-in-force securitisation/monetisation 225
18.3.1 A classical VIF structure: Gracechurch 225
18.3.2 A private but reported transaction: Zest 226
18.4 Outlook 227
19 The Investor Perspective (Life) 229
Luca Albertini
19.1 Life insurance-linked risks and investor appetite 229
19.1.1 The role of the monolines 229
19.1.2 Understanding the risk 230
19.1.3 Correlation with other investments 234
19.1.4 Relative value 236
19.1.5 Valuation and liquidity 237
19.2 Key transaction features from the investor perspective 237
19.2.1 Risk assessment of the instrument 237
19.2.2 Pricing and risk-return profile 240
19.3 Market evolution: the investor perspective 242
20 Longevity Securitisation: Specific Challenges and Transactions 245
Jennifer Donohue, Kirsty Maclean and Norman Peard
20.1 Mortality and longevity risk 245
20.2 A market for longevity risk 246
20.2.1 Potential sources of longevity risk for securitisation 246
20.2.2 Demand for longevity risk 247
20.3 Key structural aspects of longevity risk securitisation 248
20.3.1 Isolating longevity risk 248
20.3.2 Analysis of longevity risks 249
20.3.3 Longevity risk - legal explanation 250
20.3.4 Examples and legal aspects of transaction structures 252
20.4 Some features of longevity risk 255
20.4.1 Model risk 255
20.4.2 Ratings 258
20.4.3 Pricing 258
21 Longevity Risk Transfer: Indices and Capital Market Solutions 261
Guy Coughlan
21.1 The nature of longevity risk 262
21.2 The market for longevity risk transfer 263
21.2.1 Hedgers J63
21.2.2 Investors ^
21.2.3 Intermediaries ;™
21.3 Importance of indices, tools and standards ~°°
21.3.1 Longevity indices ~°
21.3.2 Trading and liquidity
Contents
21.4 Capital market instruments for longevity risk transfer 268
21.4.1 Longevity bond 268
21.4.2 Survivor swap 269
21.4.3 q-forward 269
21.4.4 Survivor forward 271
21.4.5 Instruments and liquidity 272
21.5 Customised vs standardised longevity hedges 273
21.5.1 Customised longevity hedge 273
21.5.2 Standardised index-based longevity hedge 273
21.5.3 Advantages and disadvantages 274
21.6 Case study: customised longevity hedge 274
21.7 Implementing a standardised index-based longevity hedge 275
21.7.1 Liability sensitivity and hedge calibration 276
21.7.2 Hedge effectiveness analysis 278
21.8 Conclusions 280
References 280
22 Case Study: A Cat Mortality Bond by AXA (OSIRIS) 283
Sylvain Coriat
22.1 Catastrophic pandemic risk 283
22.2 Considered risk transfer tools 284
22.3 Detailed structure 285
22.4 Risk analysis 287
22.4.1 Modelling approach 287
22.4.2 Index construction 287
22.5 Investors reaction 288
22.6 Spread behaviour 288
22.7 Next steps 288
Reference 291
23 Case Study: Some Embedded Value and XXX Securitisations 293
Michael Eakins and Nicola Dondi
23.1 Embedded value securitisation - Avondale S.A. 295
23.2 XXX securitisation 299
PART III TAX AND REGULATORY CONSIDERATIONS 305
24 The UK Taxation Treatment of Insurance-Linked Securities 307
Adam Blakemore and Oliver Iliffe
24.1 The Directive and the taxation of UK ISPVs 308
24.1.1 The implementation of the Directive in the UK 308
24.1.2 Implementation of the ISPV framework in the UK 308
24.1.3 UK tax treatment of ISPVs 310
24.2 Non-UK insurance special purpose vehicles 315
24.2.1 Tax residence status of the issuer 316
24.2.2 Tax residence status of the issuer s agents 317
24.2.3 Location and management of the issuer s assets 318
Contents
24.3 Indirect taxes and withholding of income tax
Further reading
25 The US Federal Income Taxation Treatment of Insurance-Linked
Securities
David S. Miller and Shlomo Boehm
25.1 Avoiding US corporate income tax for the issuer
25.1.1 Overview
25.1.2 Trade or business in the United States
25.1.3 Procedures followed by catastrophe bond issuers to avoid
substantive business activities in the United States
25.1.4 Section 864(b)(2) safe harbor
25.2 Withholding tax and excise tax
25.2.1 Overview
25.2.2 Descriptions of insurance-linked instruments written on stan-
dard ISDA forms
25.2.3 Federal income tax definition of notional principal contracts
25.2.4 Put options
25.2.5 The Bank of America case (income not clearly described within
any other generally recognised category)
25.3 US federal income tax treatment of an investor in a catastrophe bond
issuer: overview
25.3.1 US investors
25.3.2 Timing and character of income and gain of the issuer with
respect to the permitted investments, the total return swap and
the insurance-linked instrument
25.3.3 Foreign investors
25.3.4 Notes that are treated as indebtedness for federal income
tax purposes
Reference
26 Regulatory Issues and Solvency Capital Requirements
. Mark Nicolaides, Simeon Rudin, Rick Watson and Katharina Harmig
26.1 Regulatory issues relevant for ILS sponsors
26.1.1 Solvency capital
26.1.2 Recognition of sponsors claims against SPV as eligible assets
26.2 Solvency I
26.2.1 Overview
26.2.2 Requirement to maintain a solvency margin
26.2.3 Structuring ILS under EU Directives to enhance solvency
margins
26.3 Solvency II
26.3.1 Valuation of assets and liabilities
26.3.2 Determination of technical provisions
26.3.3 Solvency capital requirement
26.3.4 Minimum capital requirement
26.3.5 Own funds
26.3.6 Investments
xiv Contents
Appendix A: Standard formula, solvency capital requirement (SCR) 361
A.I Calculation of the basic solvency capital requirement 361
A.2 Calculation of the non-life underwriting risk module 361
A.3 Calculation of the life underwriting risk module 362
A.4 Calculation of the market risk module 362
Index 363
Handbook
Insuran
curities
Edited by Pauline Barrieu and
Luca
Albertini
Luca
Albertini
and Pauline Barrieu are to be congratulated on this volume. Written in a period
where structured projects in finance are having a difficult time, it is worthwhile to return to the cradle
of securitisation: insurance. Spread out over three parts (life,
non-
life, and tax and regulatory issues)
the
26
chapters, written mainly by practitioners, give an excellent overview of this challenging field of
modern insurance. Methodology and examples nicely go hand in hand. The overall slant being towards
actual analyses of concrete products. No doubt this book will become a milestone going forward for
actuarial students, researchers, regulators and practitioners alike.
—
Paul Embrechts, Professor of Mathematics and Director of RiskLab,
ΕΤΗ
Zurich
The convergence of insurance with the capital markets has opened up an alternative channel for
insurers to transfer risk, raise capital and optimize their regulatory reserves as well as offering
institutions a source of relatively liquid investment with limited correlation with other exposures.
One of the financial instruments allowing for the cession of insurance-related risks to the capital
markets is Insurance-Linked Securities
(ILS).
This book provides hands-on information essential for market participants, drawing on the insights
and expertise of an impressive team of international market players, representing the various aspects
and perspectives of this growing sector.
The book presents the state of the art in Insurance-Linked Securitization, by exploring the various
roles for the different parties involved in the transactions, the motivation for the transaction
sponsors, the potential inherent pitfalls, the latest developments and transaction structures and the
key challenges faced by the market.
The book is organized into parts, each covering a specific topic or sector of the market. After a
general overview of the
ILS
market, the Insurance-Linked Securitization process is studied in detail. A
distinction is made between non-life and life securitization, due to the specificities of each sector. The
process and all the actors involved are identified and considered in a comprehensive and systematic
way. The concepts are first looked at in a general way, before the analysis of relevant case studies
where the
ILS
technology is applied.
Particular focus is given to:
•
the key stages in both non-life and life securitizations, including the general features of the
transactions, the cedant s perspectives, the legal issues, the rating methodologies, the choice of an
appropriate trigger and the risk modeling,
ι
the particular challenges related to longevity securitization,
ι
the investor s perspective and the question of the management of a portfolio of
ILS,
the general
issues related to insurance-linked securitization, such as accounting and tax issues, regulatory issues
and solvency capital requirements.
The book is accompanied by a website www.wiley.com/go/albertini_barrieu_ILS which will feature
updates and additions to the various contributions to follow market developments.
|
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| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
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| id | DE-604.BV035752940 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:03:42Z |
| institution | BVB |
| isbn | 9780470743836 |
| language | English |
| lccn | 2009019337 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018612951 |
| oclc_num | 316011091 |
| open_access_boolean | |
| owner | DE-703 DE-19 DE-BY-UBM DE-N2 |
| owner_facet | DE-703 DE-19 DE-BY-UBM DE-N2 |
| physical | XXIV, 372 S. graph. Darst., Kt. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | The handbook of insurance linked securities ed. by Pauline Barrieu and Luca Albertini The handbook of insurance-linked securities 1. publ. Chichester Wiley 2009 XXIV, 372 S. graph. Darst., Kt. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Includes bibliographical references and indexes EU-Staaten stw Index stw Securitization stw USA stw Versicherung stw Versicherungstechnisches Risiko stw Risk (Insurance) Securities Insurance Linked Securities (DE-588)7620692-0 gnd rswk-swf Insurance Linked Securities (DE-588)7620692-0 s DE-604 Barrieu, Pauline Sonstige oth Albertini, Luca Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018612951&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018612951&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | The handbook of insurance linked securities EU-Staaten stw Index stw Securitization stw USA stw Versicherung stw Versicherungstechnisches Risiko stw Risk (Insurance) Securities Insurance Linked Securities (DE-588)7620692-0 gnd |
| subject_GND | (DE-588)7620692-0 |
| title | The handbook of insurance linked securities |
| title_alt | The handbook of insurance-linked securities |
| title_auth | The handbook of insurance linked securities |
| title_exact_search | The handbook of insurance linked securities |
| title_full | The handbook of insurance linked securities ed. by Pauline Barrieu and Luca Albertini |
| title_fullStr | The handbook of insurance linked securities ed. by Pauline Barrieu and Luca Albertini |
| title_full_unstemmed | The handbook of insurance linked securities ed. by Pauline Barrieu and Luca Albertini |
| title_short | The handbook of insurance linked securities |
| title_sort | the handbook of insurance linked securities |
| topic | EU-Staaten stw Index stw Securitization stw USA stw Versicherung stw Versicherungstechnisches Risiko stw Risk (Insurance) Securities Insurance Linked Securities (DE-588)7620692-0 gnd |
| topic_facet | EU-Staaten Index Securitization USA Versicherung Versicherungstechnisches Risiko Risk (Insurance) Securities Insurance Linked Securities |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018612951&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018612951&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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