A Guide to Behavioural Modelling for ALM

A Guide to Behavioural Modelling for ALM

Risk  Management for Insurers (3rd edition)

Risk Management for Insurers (3rd edition)

Alternative (Re)insurance Strategies (2nd edition)

£145.00

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.

Availability: In stock
ISBN
9781906348892
 

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.

More Information
ISBN 9781906348892
Navision code OMAR2
Publication date 30 Nov 2012
Size 155mm x 235mm
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Morton Lane

Morton Lane is the Director of the Master of Science in Financial Engineering (MSFE) program at the University of Illinois, a program that combines the latest in finance and engineering.

Morton Lane also acts as an independent consultant and president of Lane Financial, LLC, a broker-dealer engaged in activity at the intersection of the reinsurance and capital markets. Previously, Morton has been president of Sedgwick Lane Financial, 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. He has been 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. In 2010 he received the “Outstanding Contributor” award from Trading Risk magazine, only the second person to do so. He is a past appointed member of the Board of the Casualty Actuarial Society. He has co-authored two books on financial derivatives, The Treasury Bond Basis (1989) and Eurodollar Futures (1991), and edited a third on insurance securitization, Alternative Risk Strategies (2002).
Morton earned a first in B Soc Sc from Birmingham University in mathematics, economics and statistics, and his Ph D in mathematics, business administration and computer science from the University of Texas.

Introduction
Morton 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

Reference

Property 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 Martin

Data Appendices

Catastrophe-based Insurance-Linked Securities and Selected Issuance Statistics (1998-June 2012)

Insurance-Linked Securities Loss Experiences

Insurance-Linked Securities Return Experience