Alternative (Re)insurance Strategies (2nd edition)
Alternative (Re)insurance Strategies (2nd edition)
Morton Lane
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Ten years on from the publication of the first edition, Alternative (Re)insurance Strategies: Second Edition is a completely updated, comprehensive review of the current state of the insurance securitisation market, as practiced by issuers, direct investors and investment managers.
The financial crisis of 2008 proved that insurance risk has a low correlation with wider financial risk. Investments in the insurance sector - particularly insurance-linked securities (ILS) - have increased markedly, with practitioners capitalising on the successes of investing in insurance risk.
Capturing the transformation and expansion of the ILS and catastrophe bond market, as well as looking forward to the emerging trends and future direction of the market, this book provides a timely and thorough examination of the market that informs new participants, as well as providing insight and new angles to experienced practitioners.
Edited by Morton Lane, a leading expert involved in the ILS market for the past 20 years, this book brings together investors, issuers and regulators with expertise and vast experience in the ILS market. The book gives readers the viewpoints of their counterparties for a detailed and complete understanding of the ILS market.
A practical guide for all insurance risk professionals, the book includes details of the latest practices in insurance-linked investment, developed since the publication of the first edition. Covering topics such as side pockets, industry loss warranties, fronting, side cars and portfolio optimisation, Alternative (Re)insurance Strategies: Second Edition encapsulates the growth and innovations in this ever popular market.
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Table of contents
IntroductionMorton Lane
Section 1 – Perspectives on the Securitization of (Re)insurance
A History of Direct Insurance-Linked Investments Tom Bolt
Good Derivatives: Why Securitisation of Insurance Risks Matters Richard Sandor and Sylvie Bouriaux
Section 2–Developments in Insurance-Linked Products
Convergence at High Tide: The Catastrophe Finance Market Michael Millette
Industry Loss Warranties Erik Manning
Sidecars Andre Perez
Fronting for Collateralized Reinsurance Capacity Kathleen Faries
Section 3 – Issuance: Buying Protection, Raising Capital
Risk Transformation through Capital Markets Martin Bisping
A Case Study of a Consistent Insurance-Linked Securities Issuer: United Services Automobile Association Morton Lane and Roger Beckwith
Section 4–Agents of Issuance: The Facilitators
Issues and Issuance Paul Schultz and Erin Lakshmanan
Advances in ILS Portfolio Management Analytics Peter Nakada and Dominic Smith
Role of Catastrophe Risk Modelling in Insurance-Linked Securities Brent Poliquin and David Lalonde
Section 5 – Investing: Selling Protection, Providing Capital
Managing an Insurance-Linked Securities Hedge Fund Frank Majors and Laura Taylor
Insurance-Linked Securities Hedge Fund Business Models John Seo
Some Reflections on the Insurance-Linked Securities Market from an Institutional Investor Perspective Bernard Van der Stichele
Section 6–Reflections on ILS Structural Issues
Learning it the Hard Way: An Analysis of Cat Bond Investing Pitfalls Cedric Edmonds
Some Considerations with Collateralised Reinsurance and Side Pockets Luca Albertini
Legal and Transaction Structure Developments in Insurance-Linked Securities Michael Pinsel and Bobbi Anderson
Solvency II and the Implications for Insurance-Linked Securities and Special Purpose Vehicles Kathryn Morgan
Section 7–Risk Management and Portfolio Considerations
The "At-Risk" Metrics and Measures Christopher Culp
Portfolio Optimization with Insurance Linked Asset Classes Adolfo Pena, Chris Parish and Pascal Karsenti
Insurance-Linked Securities Market-Derived Metrics: Implications for Risk Adjustment Transforms Morton Lane and Jerome Kreuser
ReferenceProperty Claims Services Industry Loss Estimates Gary Kerney The PERILS Index Luzi Hitz and Eduard Held The Basics of Catastrophe Bond Mathematics and Insurance-Linked Securities Pricing Craig Bonder Insurance as a Second Language Andrew MartinData AppendicesCatastrophe-based Insurance-Linked Securities and Selected Issuance Statistics (1998-June 2012) Insurance-Linked Securities Loss Experiences Insurance-Linked Securities Return Experience