Securitization Of Catastrophe Mortality Risks

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Securitization Of Catastrophe Mortality Risks

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Author : Yijia Lin
language : en
Publisher:
Release Date : 2011

Securitization Of Catastrophe Mortality Risks written by Yijia Lin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Securitization with payments linked to explicit mortality events provides a new investment opportunity to investors and financial institutions. Moreover, mortality-linked securities provide an alternative risk management tool for insurers. As a step toward understanding these securities, we develop an asset pricing model for mortality-based securities in an incomplete market framework with jump processes. Our model nicely explains opposite market outcomes of two existing pure mortality securities.

The Handbook Of Insurance Linked Securities

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Author : Pauline Barrieu
language : en
Publisher: John Wiley & Sons
Release Date : 2010-06-15

The Handbook Of Insurance Linked Securities written by Pauline Barrieu and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-15 with Business & Economics categories.

"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, ETH 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, the particular challenges related to longevity securitization, 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.

Securitized Insurance Risk

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Author : Michael Himick
language : en
Publisher: Routledge
Release Date : 2020-09-29

Securitized Insurance Risk written by Michael Himick and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-09-29 with Business & Economics categories.

Securitized Insurance Risk is one of the first books to focus exclusively on the convergence of the insurance and financial markets in risk management and the emergence of insurance risk as a non-correlated asset class. Written for insurers and investors alike, this book explores the opportunities available to forward-looking risk and investment managers. Chapters by prominent experts specifically address: the win-win principle behind securitizing insurance risk; current structures, including catastrophe bonds, structured notes, catastrophe options, and swaps; partnering financial market tools with traditional reinsurance programs; holding insurance risk, uncorrelated with stocks and bonds; pricing insurance risk instruments and evaluating basic risk; and regulatory and accounting concerns.

Insurance Linked Securities

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Author : Christoph Weber
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-06-28

Insurance Linked Securities written by Christoph Weber and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-28 with Business & Economics categories.

Securitisations of insurance risk as new methods of risk transfer have been emerging in the global financial market during the recent twenty years. Christoph Weber analyses the techniques of traditional methods in comparison with securitisations for life- and non-life insurance risk.

Securitization Of Catastrophe Risk

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Author : Christine Winkelvos
language : de
Publisher: Cuvillier Verlag
Release Date : 2013-01-02

Securitization Of Catastrophe Risk written by Christine Winkelvos and has been published by Cuvillier Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-02 with Business & Economics categories.

Die Verbriefung von Katastrophenrisiken erfolgt vorwiegend über CAT Bonds. Diese transferieren das Katastrophenrisiko von den Versicherungsmärkten auf die Finanzmärkte und führen somit zu einer Kapazitätserweiterung des Versicherungsmarktes. Für die Übernahme des Katastrophenrisikos fordern die Investoren eine Risikoprämie, die den Preis des CAT Bonds bestimmt. Ziel der vorliegenden Dissertation ist die empirische Untersuchung dieser Prämien. Zunächst wird das beste Modell zur Vorhersage von CAT Bond Prämien identifiziert. Nachdem das beste Modell identifiziert wurde, besteht ein weiteres Ziel darin, dieses Modell detailliert zu untersuchen, indem theoretische Hypothesen aus der Literatur hinsichtlich potenzieller Einflussfaktoren empirisch überprüft werden. Darüber hinaus wird untersucht, wie sich die Prämien im Katastrophenfall verhalten.

Reinsurance Versus Securitization Of Catastrophe Risk

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Author : Ajay Subramanian
language : en
Publisher:
Release Date : 2018

Reinsurance Versus Securitization Of Catastrophe Risk written by Ajay Subramanian and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

We provide a novel explanation for the low volume of securitization in catastrophe risk transfer using a signaling model. Relative to securitization, reinsurance features lower adverse selection costs because reinsurers possess superior underwriting resources than ordinary capital market investors. Reinsurance premia, however, reflect markups over actuarially fair premia due to the additional costs of underwriting. Insurers' risk transfer choices trade off the costs and benefts of reinsurance relative to securitization. In equilibrium, low risks are transferred via reinsurance, while intermediate and high risks are transferred via partial and full securitization, respectively. An increase in the loss size increases the trigger risk level above which securitization is chosen. Hence, catastrophe exposures, which are characterized by lower probabilities and higher severities, are more likely to be retained or reinsured rather than securitized.

The Risk Implications Of Insurance Securitization

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Author : Bjoern Hagendorff
language : en
Publisher:
Release Date : 2014

The Risk Implications Of Insurance Securitization written by Bjoern Hagendorff and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

Catastrophe (Cat) bonds are insurance securitization vehicles which are supposed to transfer catastrophe-related underwriting risk from issuers to capital markets. This paper addresses key, unanswered questions concerning Cat bonds and offers the following results. First, our findings show firms that issue Cat bonds exhibit less risky underwriting portfolios with less exposure to catastrophe risks and overall less need to hedge catastrophe risk. These results show that the access to the market for insurance securitization is easiest for firms with less risky portfolios. Second, firms that issue Cat bonds are found to experience a reduction in their default risk relative to non-issuing firms and our results, therefore, demonstrate that Cat bonds provide effective catastrophe hedging for issuing firms. Third, firms with less catastrophe exposure, increase their catastrophe exposure following an issue. Therefore, our paper cautions that the ability to hedge catastrophe risk causes some firms to seek additional catastrophe risk.

The Palgrave Handbook Of Unconventional Risk Transfer

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Author : Maurizio Pompella
language : en
Publisher: Springer
Release Date : 2017-08-04

The Palgrave Handbook Of Unconventional Risk Transfer written by Maurizio Pompella and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-08-04 with Business & Economics categories.

This handbook examines the latest techniques and strategies that are used to unlock the risk transfer capacity of global financial and capital markets. Taking the financial crisis and global recession into account, it frames and contextualises non-traditional risk transfer tools created over the last 20 years. Featuring contributions from distinguished academics and professionals from around the world, this book covers in detail issues in securitization, financial risk management and innovation, structured finance and derivatives, life and non-life pure risk management, market and financial reinsurance, CAT risk management, crisis management, natural, environmental and man-made risks, terrorism risk, risk modelling, vulnerability and resilience. This handbook will be of interest to academics, researchers and practitioners in the field of risk transfer.

Strategic Trading In The Foreign Exchange Markets

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Author : Gary Klopfenstein
language : en
Publisher: Fitzroy Dearborn Pub
Release Date : 2000-05

Strategic Trading In The Foreign Exchange Markets written by Gary Klopfenstein and has been published by Fitzroy Dearborn Pub this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-05 with Business & Economics categories.

This volume provides insights into foreign exchange management from traders around the world. Each chapter includes advice for corporations and institutional investors concerning trading and hedging strategies in the foreign exchange markets. The emphasis is on practical applications.

Securitization Of Catastrophe Insurance Risk And Catastrophe Bonds

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Author : Qihao He
language : en
Publisher:
Release Date : 2013

Securitization Of Catastrophe Insurance Risk And Catastrophe Bonds written by Qihao He and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

It is reasonable to expect that catastrophe insurance system will be established in China in the near future, since it is one of the main topics in the Fourth National Finance Working Conference, and it is the first three working points of China Insurance Regulation Commission (CIRC) this year. Due to the high loss of catastrophe and incapacity of the insurance industry, securitization of catastrophe risk serves as a significant alternative risk tool for catastrophe insurance industry. This has been practiced in the U.S. since the mid-1990s and catastrophe bonds are perfect examples. In this paper, we will first introduce the practices and challenges of securitization of catastrophe risk in the U.S., especially the catastrophe bonds which have been the predominant form until now. And then, the author will use the supply-demand framework to analyze whether securitization of risk is feasible in China. However, due to the institutional shortcomings, including legal frame, regulatory institutions and so on, issuing the ILS will take quite a long time and a tough process in China.