SUMMARY

• Expert practitioners and theoreticians take a detailed look at the new class of complex options and structured products resulting from the convergence of finance and insurance e.g. alternative risk transfer

• Major issues explored include putting a price on Mother Nature, the future of the new asset class, and whether catastrophe risk is uninsurable

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  TABLE OF CONTENTS

CONTENTS

Preface - Hélyette Geman

Introduction - Richard Sandor

Section 1: Insurance Derivatives

Chapter 1. Geman, Hélyette, 1999, ″From Options on Stocks and Currencies on Options on Insurance, Credit and Weather
Chapter 2. Shimko, David, 1992, ″The Valuation of Multiple Claim Insurance Contracts
Chapter 3. Geman, Hélyette, 1994, ″CAT Calls″
Chapter 4. Cummins, David and Hélyette Geman, 1996, ″Pricing Catastrophe Insurance Futures and Call Spreads: An Arbitrage Approach″,
Chapter 5. Dong, Weimin, Haresh Shah, and Felix Wong, 1996, ″A Rational Approach to Pricing of Catastrophe Insurance
Chapter 6. Geman, Hélyette and Marc Yor, 1997, ″Stochastic Time Changes in Catastrophe Option Pricing″, .
Chapter 7. Geman, Hélyette and Marie Odile Albizzati, 1994, Interest Rate Risk Management and the Valuation of the Surrender Option in Life Insurance Policies

Section 2: Securitisation

Chapter 8. Lamm Jr, R. McFall, 1997, ″The Catastrophe Reinsurance Market: Economic Gyrations and Innovations Amid Major Structural Transformation″
Chapter 9. Lamm Jr, R. McFall, 199?, ″The Exotica Portfolio: New Financial Instruments Make Bonds Obsolete
Chapter 10. Geman, Hélyette, 1996, ″Insurance Risk Securitisation and CAT Insurance Derivatives
Chapter 11. Canter, Michael, Joseph B. Cole and Richard L. Sandor, 1997, ″Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry
Chapter 12. Litzenberger, Robert, David Beaglehole and Craig Reynolds, 1996, ″Assessing Catastrophe Reinsurance-Linked Securities as a New Asset Class
Chapter 13. Tomas, Michael J. III, 1998, ″A Note on Pricing PCS Single-Event Options
Chapter 14. Geman, Hélyette, 1999, ″The High-Yield Bond Market: Catastrophe Bonds Versus Default Bonds
Chapter 15. Lane, Morton and Oleg Movchan, 1995, The Perfume of the Premium II
Chapter 16. Gail Belonsky, 1999, ″Insurance-Linked Securities.
Chapter 17. Briys, Eric, 1998, ″Pricing Mother Nature

Section 3: Weather Derivatives

Chapter 18. Ramamurtie, Sailesh, 1999, Weather Derivatives and Hedging Weather Risks
Chapter 19. Clemmons Lynda, Hrgovcic, Joseph, Kaminski, Vince, 1999, Weather Derivatives: Hedging Mother Nature
Chapter 20. Dischel, Bob, 1999, A Weather Risk Management Choice: Hedging with Degree-day Derivatives
Chapter 21. Geman, Hélyette, 1999, ″The Bermuda Triangle: Weather, Electricity and Insurance Derivatives″

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  QUOTES

″This collection provides an excellent overview, from both academic and practitioner perspectives, of these new and exciting markets.″
Richard Sandor, Hedge Financial Products

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  REVIEW

Reviewed by Glyn Holton, Contingency Analysis

Quality Rating 4 - Excellent
Technical Rating 4 - Very-Technical: Assumes knowledge of very advanced mathematics, including measure theory or stochastic calculus.

As the barriers between finance and insurance fall, this book is a roadmap to structuring and valuing the derivatives that stand betwixt the two industries. Helyette Geman has done an excellent job pulling together 21 papers, several of which she wrote herself. The result is a sophisticated volume that combines technical and qualitative information on insurance and weather derivatives. The book is divided into three sections:

Insurance Derivatives
Securitisation
Weather Derivatives

The first section is quite technical, with seven chapters drawing on both financial engineering and actuarial concepts to value a variety of insurance policies and insurance derivatives. Topics include multiple claim insurance policies, exchange traded insurance futures and options, catastrophe insurance, and the valuation of the surrender option in life insurance policies. The second section combines technical and qualitative discussions of the catastrophic insurance market, insurance derivatives, catastrophe bonds and insurance-linked securities. Finally, the last section has four chapters that discuss weather derivatives and how they are used. These discussions are largely qualitative, but pricing issues are also discussed, mostly from an actuarial standpoint.

I highly recommend this book to both financial engineers and actuaries who work with insurance or weather derivatives. Also, the qualitative information that is provided will appeal to less technical readers.

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  AUTHOR BIOGRAPHY

Geman, Hélyette; Shimko, David; Cummins,David; Dong, Weimin, Haresh Shah, and Felix Wong; Geman, Hélyette and Marc Yor; Geman, Hélyette and Marie Odile Albizzati; Lamm Jr, R. McFall; Geman, Hélyette; Canter, Michael; Litzenberger, Robert, David Beaglehole and Craig Reynolds; Tomas, Michael J. III; Geman, Hélyette; Lane, Morton and Oleg Movchan; Gail Belonsky; Briys, Eric; Clemmons Lynda, Hrgovcic, Joseph, Kaminski, Vince; Dischel, Bob; Hélyette

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  CONTRIBUTORS

Geman, Hélyette; Shimko, David; Geman, Hélyette; Cummins, David and Hélyette Geman; Dong, Weimin, Haresh Shah, and Felix Wong; Geman, Hélyette and Marc Yor; Geman, Hélyette and Marie Odile Albizzati; Lamm Jr, R. McFall; Geman, Hélyette; Canter, Michael; Litzenberger, Robert, David Beaglehole and Craig Reynolds; Tomas, Michael J. III; Geman, Hélyette; Lane, Morton and Oleg Movchan; Gail Belonsky; Briys, Eric; Clemmons Lynda, Hrgovcic, Joseph, Kaminski, Vince; Dischel, Bob; Geman, Hélyette
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  CUSTOMERS WHO BOUGHT THIS TITLE ALSO BOUGHT:

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