Investing in Insurance Risk

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.

£125.00
Availability: In stock
ISBN
9781904339564
 

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.

More Information
ISBN 9781904339564
Navision code MILS
Publication date 3 Jun 2010
Size 155mm x 235mm
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Alex Krutov

Alex Krutov

Alex Krutov is Managing Director of Century Atlantic Capital Management, where he developed an investment strategy across all types of insurance-linked securities (ILS) and collateralized reinsurance, as well as portfolio optimization and risk management techniques for ILS and reinsurance. Prior to joining the firm, he was President of Navigation Advisors LLC, a New York management-consulting firm focused on the insurance industry, capital markets, and general management. Prior to founding Navigation Advisors, Alex Krutov was employed in a variety of roles, including officer-level positions, at companies such as Transatlantic Reinsurance Company, American International Group, Reliance Group, UBS Warburg, and AXA Financial.

Alex Krutov’s primary expertise and experience involve the products that bridge the gap between (re)insurance and capital markets. He has strong expertise in insurance securitisation, alternative risk transfer, reinsurance and insurance underwriting, portfolio issues in investing in insurance-linked securities, risk analysis, pricing of catastrophe (re)insurance risk, and general management.

Alex Krutov is a member of the American Academy of Actuaries, the Casualty Actuarial Society, and the Society of Actuaries. He chairs the Risk-Based Capital Committee of the American Academy of Actuaries. In addition to his actuarial credentials, Alex Krutov holds an MBA in Management and Finance from the Columbia University Graduate School of Business. He also holds an MS in Physics.

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

18 Conclusion