Alternative Risk Strategies

Book description

• Provides an innovative and detailed insight on a variety of issues to include an overview of the reinsurance industry, contingent financing, terrorism risk, captives, finite risk, loss portfolio transfers, catastrophe risk, modelling issues and risk swaps
• Multi-author contributions from leading industry experts and academics on the key issues surrounding this area
• Includes an up-to-date discussion of the effects of September 11th on the insurance and reinsurance markets.
• Chronicles the market changes from traditional methods of insurance through industry developments, research and current practice

Book details

ISBN

9781899332632

Publish date

1 Apr 2002

Format

Size

155mm x 235mm

Editor biography

Morton Lane

Morton Lane is the president of Lane Financial, LLC, a broker-dealer engaged in consulting and transaction activity at the intersection of the reinsurance and capital markets. He is also a director of Select Re, Bermuda.

Previously, Morton has been senior managing director of the Capital Markets Division at Gerling Global Financial Products (GGFP), president of Discount Corp of New York Futures, senior managing director and head of commodities of Bear Stearns & Co, president of Lind-Waldock, investment officer for The World Bank, and lecturer at the London Graduate School of Business Studies.

Morton is a prominent speaker on insurance and securitisation and has written numerous articles on this subject. In 2001, he was awarded the Charles A. Hachemeister Prize for his article on “Pricing Risk Transfer Transactions“ published in the Actuarial Studies in Non-life Insurance (ASTIN) Bulletin. He has co-authored two books, The Treasury Bond Basis and Eurodollar Futures. He has also designed and taught courses at the University of Chicago Graduate School of Business. Morton earned his B Soc Sc from Birmingham University, and his PhD in mathematics, business administration and computer science from the University of Texas.

Table of contents

CONTENTS

Authors

Introduction

Morton Lane, Lane Financial, LLC

PART I : PRODUCT TYPES FOR TRANSFERRING, FINANCING, TRANSFORMING AND RETAINING RISK.

1 Reinsurance vs Other Risk-transfer Instruments - the Reinsurer’s Perspective.

Kenneth J. Bock and Manfred W. Seitz, Munich Re

2 Managing Risk using Index-linked Catastrophic Loss securities

J.David Cummins, David LaLonde and Richard D. Phillips, Wharton, AIR and GSU

3 Catastrophe Bonds.

David Mocklow, John DeCaro and Matthew McKenna, Cochran-Coronia

4 Industry Loss Warrantees.

Enda McDonnell, Access Re

5 Risk Swaps.

Yuichi Takeda, The Tokio Marine and Fire Insurance Company Co. Ltd

6 Contingent Capital and the Art of Corporate Finance

Christopher L. Culp, University of Chicago

7 Contingent Covers.

Bryon Ehrhart, Aon

8 Finite Risk Insurance and Reinsurance.

Oscar Tymon, Centre Solutions

9 Captives

Paul Wöhrmann and Christoph Bürer, Zurich Financial Services

PART II : THE PRICE OF RISK AND ITS VOLATILITY.

10 Catastrophe Risk Pricing in the Traditional Market .

John A. Major and Rodney E. Kreps, Guy Carpenter

11 Pricing of Catastrophe Bonds.

Shaun Wang, SCOR

12 Implications of Market Shocks: Capacity, Price Volatility and the Value of Transparency.

Joan Lamm-Tennant, General Cologne Re

PART III: ASSESSING INDIVIDUAL RISKS BY MODELLING

13 Natural Catastrophe Loss Modelling

Mahmoud Khater and Dennis E. Kuzak, EQECAT

14 Quantifying Insurance Terrorism Risk.

Gordon Woo, RMS

15 Weather Risk Modelling for Improved Weather Risk Management

Mark Gibbas and S. Ming Lee, AIR

16 The ART of Dependence Modelling: The Latest Advances in Correlation Analysis

Peter Blum, Alexandra Dias and Paul Embrechts, Swiss Federal Institute of Technology

17 Economic Modelling: The Residual Valuation and Lease Income Streams of Aircraft Fleets.

Derrell Hendrix and Neil Hohmann, RisConsulting

PART IV: INDUSTRY-SPECIFIC PRACTICES AND SOLUTIONS

18 Industry-specific Practices and Solutions: Credit Solutions Provided by Insurance Companies

Uwe E. Remy and Daniel Grieger, Swiss Re

19 Securitisation of Life Insurance Businesses

Michael Millette, Shiv Kumar ,Omar J Chaudhary, Goldman Sachs and Company

Jacqueline M. Keating and Steven I. Schreiber, Milliman USA

20 The Origin of Contingent Liabilities.

Stephen Hough, BAE Systems

21 Private Equity Capital Guarantee Structures.

Gabriele Zeindler, Swiss Re

22 Applying Insurance Techniques and Structures to Manage Merger Risk.

David Govrin and Andrew Kaiser, Goldman Sachs

23 The Role of Hedge Funds as Asset Managers in Pension, Life and Annuity Portfolios, and Property-Casualty Reinsurance Covers.

David K. A. Mordecai, Clinton Group Inc

PART V: PORTFOLIO CONSIDERATIONS

24 The Cost of Risk and Cost of Capital in Capital-Budgeting and Risk Transfer Decisions.

Neil Doherty, University of Pennsylvania

25 Correlation in Risk Portfolio Management.

Bill Riker, Renaissance Re

26 Integrated Simulation Techniques.

Michael Steel, Benfield Group

27 Improving Portfolio Performance with Catastrophe Bonds.

John Kiernan&David Heike, Lehman Brothers

28 Amending Lloyds Risk-based Capital Model for Financial Guarantee and Credit Insurance

Peter Allen, Derek Bain, Tony Jones and Samit Shah, Ernst and Young

PART VI: OTHER PERSPECTIVES

29 Accounting Issues in Finite Reinsurance and Alternative Risk Transfer Products.

Mike Brosnan, Ernst and Young

30 Legal Risks Mitigating Document Risk - Some Hard Lessons Learned.

Clive O’Connell, Barlow, Lyde&Gilbert

31 Alternative Risk Strategies - Regulation.

Nigel Davies, Financial Services Authority

32 Alternative Risk Transfer and Financial Stability.

David Rule, Bank of England

Afterword - Whither securitisation?

Morton Lane, Lane Financial LLC

Bibliography

NB - This table of contents is provisional until final publication of the book. Small changes to chapter titles and order may occur.

Testimonials

“In terms of sheer scope and expertise of the contributors, Alternative Risk Strategies sets a standard... a welcome addition to the professional library of any financially sophisticated risk manager.“

Mark A. Hoffman, Business Insurance magazine