Investing in insurance risk: insurance-linked securities ; a practitioner's perspective
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
2010
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. 453 - 467 |
| Beschreibung: | XX, 480 S. Ill., graph. Darst., Kt. |
| ISBN: | 9781904339564 |
Internformat
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| 245 | 1 | 0 | |a Investing in insurance risk |b insurance-linked securities ; a practitioner's perspective |c by Alex Krutov |
| 264 | 1 | |a London |b Risk Books |c 2010 | |
| 300 | |a XX, 480 S. |b Ill., graph. Darst., Kt. | ||
| 336 | |b txt |2 rdacontent | ||
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-027251978 | ||
Datensatz im Suchindex
| _version_ | 1804152129765507072 |
|---|---|
| adam_text | Titel: Investing in insurance risk
Autor: Krutov, Alex
Jahr: 2010
Contents
About the Author xiii
Preface xv
PART I: INTRODUCTION TO INVESTING IN
INSURANCE RISK 1
1 Investing in Insurance Risk 3
Investing in risk 3
Insurance risk 4
Insurance markets 4
Securities issued by insurance companies 6
Insurance-linked securities 7
Investing in insurance risk 9
2 Insurance-Linked Securities 13
Insurance-linked securities defined 13
Types of insurance-linked securities 14
Yield and diversification offered by insurance-linked
securities 17
Market dynamics 19
PART II: INVESTING IN AND MODELLING SECURITIES
LINKED TO PROPERTY AND CASUALTY RISK 21
3 Property Catastrophe Bonds 23
Securitisation of property insurance risk 23
Motivation for transferring natural catastrophe risk to the
capital markets 24
Historical perspective 25
Risk transfer in insurance 26
Catastrophe bond structure 28
Default triggers 31
Number and types of perils 34
Term 35
Quantitative analysis 35
Investment performance of cat bonds 42
Market stability and growth 46
More on the sponsor and investor perspectives 47
Modelling property catastrophe insurance risk 51
Trends and expectations 52
Modelling Catastrophe Risk 55
The challenge of modelling catastrophe events 55
Importance of catastrophe modelling to investors 56
Modelling catastrophe insurance risk of insurance-linked
securities 57
The science of catastrophes 57
Earthquake frequency and severity 59
Earthquake location 61
More on earthquake modelling 65
Tsunamis 69
Hurricanes 70
Historical frequency of hurricanes threatening the US 74
Seasonality of the hurricane risk in insurance-linked
securities 77
Landfall frequency in peak regions 79
Hurricane frequency effects over various time horizons 81
Investor views on macro-scale frequency effects 83
Evolution of investor views on catastrophe modelling 86
Elements of hurricane modelling 88
Damage modelling 94
Financial loss modelling 95
Catastrophe model structure 97
Modelling terrorism risk 98
Modelling pandemic flu risk 101
Practical modelling of catastrophe risk 103
Data quality 106
Investor and catastrophe modelling 108
Catastrophe bond remodelling 109
Hurricane forecasting 110
Climate change 111
Sponsor perspective on modelling 112
Modelling as a source of competitive advantage to
investors 113
Modelling as a source of competitive disadvantage to
investors 115
Trends and expectations 116
5 Catastrophe Derivatives and ILWs 119
Index-linked contracts 119
Role of an index 120
Catastrophe derivatives defined 120
Industry loss warranties defined 122
Market size 122
Key indexes 123
Modelling industry losses 129
The ILW market 130
ISDA US wind swap confirmation template 132
IFEX catastrophe derivatives 133
CME hurricane derivatives 140
Eurex hurricane futures 144
More unusual products 145
Comments on pricing 146
Credit risk 147
Basis risk 147
The use of transformers 148
Investor universe 149
Mortality and longevity derivatives 149
Investor and hedger perspectives 150
Trends and expectations 150
6 Reinsurance Sidecars and Securitised Reinsurance 153
Securitisation of reinsurance 153
Reinsurance sidecars 154
Sidecar structure 154
Investor perspective 157
Sponsor perspective 157
Sidecar types 158
Investor universe 160
Considerations in investment analysis 162
Trends and expectations 163
7 Credit Risk in Catastrophe Bonds and Other ILS 167
Credit risk 167
Credit risk and ILS 169
Traditional solutions 169
The need for new solutions 170
Solutions to credit risk issues in insurance-linked securities 171
Triparty repo arrangement 173
Customised puttable notes 176
Use of US Treasury money market funds as collateral 176
Collateral options in collateralised reinsurance 177
Trends and expectations 178
8 Weather Derivatives 181
The broader definition of insurance-linked securities 181
Weather derivatives defined 181
Heating and cooling degree days 183
Other types of weather derivatives 184
Payout on standard options 186
Exchange-traded weather derivatives 187
Pricing models for weather derivatives 188
Practical challenges in pricing 189
Investing in weather derivatives 191
Emissions trading 193
Trends and expectations 194
PART III: SECURITIES LINKED TO VALUE-IN-FORCE
MONETISATION AND FUNDING REGULATORY
RESERVES 197
9 Funding Excess Insurance Reserves 199
Excess insurance reserves 199
Some examples 199
Excess reserves 201
Funding solutions 201
Embedded value and value-in-force securitisation 202
Market fluidity 203
RBC requirements leading to unnecessary capital strain 203
Regulation XXX reserve funding 204
Letter-of-credit facility for funding regulation XXX
reserves 206
Securitisation of Regulation XXX reserves 207
Other solutions 209
Additional considerations for investors 209
Funding AXXX reserves 210
Loss portfolio transfer 211
Conclusion 212
10 Embedded Value Securitisation 213
Rationale for embedded value securitisation 213
Embedded value and value-in-force defined 214
Direct monetisation versus true securitisation 215
Closed block 216
Investor perspective 216
Specific structures 217
Modelling 220
Stress scenarios 224
Ratings of EV securitisations 225
Examples of EV securitisation 227
Gracechurch/Barclays EV securitisation 227
Trends and expectations 232
PART IV: INVESTING IN AND MODELLING SECURITIES
LINKED TO MORTALITY AND LONGEVITY RISK 235
11 Securitisation of Extreme Mortality Risk 237
The risk of extreme mortality 237
Securitisation of extreme mortality risk 240
The groundbreaking Vita securitisation 240
Other securitisations of extreme mortality risk 244
Basis risk 246
Credit enhancement 247
Investor types 248
Extreme mortality risk quantification and pricing 248
Current modelling approaches 251
Mortality derivatives 259
Additional considerations for investors 259
Trends and expectations 260
12 Life Insurance Settlements 263
Insurance policy as a tradable asset 263
Life settlements 264
Life settlement securitisations 266
Legal and ethical issues 267
Market participants 269
Current and future market size 269
Regulatory issues 272
The link between investor risk and consumer protection 273
Tax issues 274
Insurable interest 275
Investor- or stranger-originated life insurance policies 278
Contestability 280
Trust structures and investor due diligence 281
The use of not-for-profit organisations in life settlements 282
Investor perspective 285
Insurance industry perspective 289
Risks to insurers 290
Conclusion 293
13 Mortality and Longevity Models in Insurance-Linked
Securities 295
Mortality and longevity 295
Mortality rates 296
Mortality tables 299
Population mortality tables 301
Mortality dynamics 306
Select and ultimate tables 308
Credibility theory approach 310
Longevity improvements 312
Lee-Carter and related methods 315
Markov process of mortality and morbidity 316
Direct age transform in mortality modelling 319
Mortality and longevity shocks 320
Conclusion 321
14 Valuation of Life Settlements and Other Mortality-Linked
Securities 323
Modelling investment performance of life settlements 323
Life expectancy 325
Methodology changes in the calculation of life
expectancy 327
Underwriting concepts 328
Debits 328
Choice of mortality table 330
2008 valuation basic table 331
Relative risk ratios 334
Underwriting for older ages 335
Choosing the LE 340
LE shopping 341
Assumed premiums 342
Being paid for the risk 343
Conclusion 344
15 Longevity Risk Transfer and Longevity-Linked
Securities 347
Longevity risk 347
Need to transfer longevity risk 349
Longevity improvements 352
Natural hedges 354
Primary mechanisms of longevity risk transfer 355
Longevity swaps 357
Mortality forwards and survivor forwards 359
Longevity bonds 364
More on other solutions for longevity risk management
in a DB pension fund 371
Indexes of longevity 373
Investors in longevity 376
Market developments 378
Extension risk in traded policies 379
Trends and expectations 384
PART V: MANAGING PORTFOLIOS OF INSURANCE
RISK 389
16 Managing Portfolios of Catastrophe Risk 391
Portfolio construction 391
Exotic beta 391
How catastrophe risk is different 396
Measures of return and risk 398
Managing a portfolio of cat risk by a (re)insurance
company 404
Managing a portfolio of catastrophe insurance-linked
securities 407
Instrument types 409
Portfolio constraints 411
Standard tools and the modelling of individual securities 413
Portfolio optimisation 416
Pitfalls of standard optimisation techniques 426
Remodelling and portfolio optimisation 427
Sensitivity analysis and scenario testing 428
Additional considerations 429
Performance measurement 431
Conclusion 432
17 Managing Portfolios of Multiple Types of ILS 435
Types of insurance-linked securities 435
Rationale for combining different types of ILS in the same
portfolio 437
Correlation among different types of ILS 438
Tenor and liquidity 438
Portfolio optimisation 439
The argument against combining ILS of multiple types
in the same portfolio 441
Portfolio valuation issues 441
Performance measurement 442
Investment management policy 446
Risk management 446
Conclusion 448
18 Conclusion 449
References 453
Index 469
|
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| id | DE-604.BV041806531 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:05:49Z |
| institution | BVB |
| isbn | 9781904339564 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027251978 |
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| physical | XX, 480 S. Ill., graph. Darst., Kt. |
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| spelling | Krutov, Alex Verfasser aut Investing in insurance risk insurance-linked securities ; a practitioner's perspective by Alex Krutov London Risk Books 2010 XX, 480 S. Ill., graph. Darst., Kt. txt rdacontent n rdamedia nc rdacarrier Literaturverz. S. 453 - 467 Insurance Linked Securities (DE-588)7620692-0 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Insurance Linked Securities (DE-588)7620692-0 s Portfoliomanagement (DE-588)4115601-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027251978&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Krutov, Alex Investing in insurance risk insurance-linked securities ; a practitioner's perspective Insurance Linked Securities (DE-588)7620692-0 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
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| title | Investing in insurance risk insurance-linked securities ; a practitioner's perspective |
| title_auth | Investing in insurance risk insurance-linked securities ; a practitioner's perspective |
| title_exact_search | Investing in insurance risk insurance-linked securities ; a practitioner's perspective |
| title_full | Investing in insurance risk insurance-linked securities ; a practitioner's perspective by Alex Krutov |
| title_fullStr | Investing in insurance risk insurance-linked securities ; a practitioner's perspective by Alex Krutov |
| title_full_unstemmed | Investing in insurance risk insurance-linked securities ; a practitioner's perspective by Alex Krutov |
| title_short | Investing in insurance risk |
| title_sort | investing in insurance risk insurance linked securities a practitioner s perspective |
| title_sub | insurance-linked securities ; a practitioner's perspective |
| topic | Insurance Linked Securities (DE-588)7620692-0 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Insurance Linked Securities Portfoliomanagement |
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