Investing in Insurance Risk
By Alex Krutov
Insurance-linked securities and certain reinsurance instruments provide the ability to invest in insurance directly, as opposed to investing in equities or debt issued by insurance and reinsurance companies. The “pure” insurance risk component of these investments can range from that of property catastrophe to longevity, all of which provide limited correlation with the investment performance of traditional asset types.
Securitisation of insurance risk has also become an important tool for risk and capital management that can be utilised by insurance companies alongside the more traditional approaches. It offers insurance and reinsurance companies additional flexibility at a time when the landscape keeps changing and the ability to respond to changes quickly is a critical source of competitive advantage.
The rapid growth of the market for insurance-linked securities has highlighted the need for information on the types of these securities and the issues involved in their structuring, pricing, trading, and managing on a portfolio basis.
Investing in Insurance Risk by Alex Krutov looks at all of the issues involved in investing in insurance risk and insurance securitisation. It examines the various types of insurance-linked securities now available to investors, along with techniques for their analysis. In addition, the book explains the considerations insurance companies face in transferring insurance risk to the capital markets.
The book is somewhat provocatively titled Investing in Insurance Risk to emphasize that investing always involves the potential of both return and risk. This is particularly clear in a field such as insurance-linked securities, where risk transfer?rather than simply raising capital?is often the primary driver for issuing these securities. The ability to analyze the risk-return profile of these investments is essential for both issuing and investing in them.
The book is designed to serve as a valuable resource to those active in the insurance-linked securities marketplace, while also aiding basic understanding of the topics for those new to the field. The author offers a clear practitioner’s perspective as opposed to an academic one; this hands-on approach is particularly important in a market that is new and still evolving.
|Publication date||3 Jun 2010|
|Size||155mm x 235mm|
PART I: INTRODUCTION TO INVESTING IN INSURANCE RISK
1 Investing in Insurance Risk
2 Insurance-Linked Securities
PART II: INVESTING IN AND MODELLING SECURITIES LINKED TO PROPERTY AND CASUALTY RISK
3 Property Catastrophe Bonds
4 Modelling Catastrophe Risk
5 Catastrophe Derivatives and ILWs
6 Reinsurance Sidecars and Securitised Reinsurance
7 Credit Risk in Catastrophe Bonds and Other ILS
8 Weather Derivatives
PART III: SECURITIES LINKED TO VALUE-IN-FORCE MONETISATION AND FUNDING REGULATORY RESERVES
9 Funding Excess Insurance Reserves
10 Embedded-Value Securitisation
PART IV: INVESTING IN AND MODELLING SECURITIES LINKED TO MORTALITY AND LONGEVITY RISK
11 Securitisation of Extreme-Mortality Risk
12 Life Insurance Settlements
13 Mortality and Longevity Models in Insurance-Linked Securities
14 Valuation of Life Settlements and Other Mortality-Linked Securities
15 Longevity Risk Transfer and Longevity-Linked Securities
PART V: MANAGING PORTFOLIOS OF INSURANCE RISK
16 Managing Portfolios of Catastrophe Risk
17 Managing Portfolios of Multiple Types of ILS