About the Contributors | |
Acknowledgements | |
Introduction | |
Non-Life Securitisation | |
Non-life Insurance Securitisation: Market Overview, Background and Evolution | |
Market overview | |
Market dynamics | |
The question of basis risk remains | |
ILS and the credit crunch | |
Cedants' Perspectives on Non-life Securitization | |
Insurance-linked securities as part of advanced risk intermediation | |
Reinsurance vs Securitisation | |
Securitisation as a diversification from traditional retrocession | |
Choice of Triggers | |
General aspects | |
Indemnity triggers | |
Non-indemnity triggers | |
Choosing the optimal trigger | |
Basis Risk from the Cedant's Perspective | |
Introduction | |
Investor vs sponsor risk | |
Trigger types | |
Catastrophe models | |
Sources of basis risk | |
Defining basis risk | |
Quantifying basis risk | |
Minimising basis risk | |
Conclusion | |
Acknowledgements | |
References | |
Rating Methodology | |
Standard & Poor's ratings services' rating process | |
Risk analysis | |
Legal and swap documentation review process | |
Impact on sponsor | |
Risk Modelling and the Role and Benefits of Cat Indices | |
Components of a cat model | |
Insurance-linked securities | |
Cat indices | |
Summary | |
Legal Issues | |
The note offering - federal securities law implications | |
The note offering - the offering circular | |
Types of transactions | |
Conclusion | |
The Investor Perspective (Non-Life) | |
The creation of a sustainable and liquid market | |
Key transaction features from the investor perspective | |
Market evolution: the investor perspective | |
ILS Portfolio Monitoring Systems | |
Introduction | |
Miu - An ILS platform in a convergent space | |
RMS library of cat bond characterisations | |
Conclusion | |
The Evolution and Future of Reinsurance Sidecars | |
A brief history of the brief history of sidecars | |
Sidecar structures | |
The appeal of sidecars | |
Structuring considerations | |
The outlook for sidecars | |
Conclusion | |
Case Study: A Cat Bond Transaction by SCOR (Atlas) | |
Introduction: SCOR's recent history | |
Atlas III and IV: Background | |
Atlas: Main characteristics | |
Basis Risk | |
Total Return Swap | |
Conclusion | |
Definition of events | |
Extension events | |
Case Study: Swiss Re's New Natural Catastrophe Protection Program (Vega) | |
A positive evolution of Swiss Re's ILS strategy | |
Swiss Re accesses multi-event natural catastrophe coverage | |
The first ILS to use a cash reserve account as credit enhancement | |
Innovation leads to more efficient protection | |
Life Securitisation | |
General Features of Life Insurance-Linked Securitisation | |
Life insurer corporate and business structures, risks and products | |
Actors and their roles | |
Process | |
Cedants' Perspectives on Life Securitisation | |
A cedant's perspective on life securitisation | |
A cedant's perspective on life securitisation | |
Rating Methodology | |
Fitch's approach to the rating process | |
Insurance risk analysis | |
Zest: a VIF case study | |
References | |
Life Securitisation: Risk Modelling | |
Modelling of a catastrophic mortality transaction | |
Modelling of a VIF transaction | |
Life Insurance Securitisation: Legal Issues | |
Monetisation of future cash flows | |
Legal aspects of life insurance securitisation - some key features | |
Some examples of value-in-force securitisation/monetisation | |
Outlook | |
The Investor Perspective (Life) | |
Life insurance-linked risks and investor appetite | |
Key transaction features from the investor perspective | |
Market evolution: the investor perspective | |
Longevity Securitisation: Specific Challenges and Transactions | |
Mortality and longevity risk | |
A market for longevity risk | |
Key structural aspects of longevity risk securitisation | |
Some features of longevity risk | |
Longevity Risk Transfer: Indices and Capital Market Solutions | |
The nature of longevity risk | |
The market for longevity risk transfer | |
Importance of indices, tools and standards | |
Capital market instruments for longevity risk transfer | |
Customised vs standardised longevity hedges | |
Case study: customised longevity hedge | |
Implementing a standardised index-based longevity hedge | |
Conclusions | |
References | |
Case Study: A Cat Mortality Bond by AXA (OSIRIS) | |
Catastrophic pandemic risk | |
Considered risk transfer tools | |
Detailed structure | |
Risk analysis | |
Investors' reaction | |
Spread behaviour | |
Next steps | |
Reference | |
Case Study: Some Embedded Value and XXX Securitisations | |
Embedded value securitisation - Avondale S.A | |
XXX securitisation | |
Tax And Regulatory Considerations | |
The UK Taxation Treatment of Insurance-Linked Securities | |
The Directive and the taxation of UK ISPVs | |
Non-UK insurance special purpose vehicles | |
Indirect taxes and withholding of income tax | |
The US Federal Income Taxation Treatment of Insurance-Linked Securities | |
Avoiding US corporate income tax for the issuer | |
Withholding tax and excise tax | |
US federal income tax treatment of an investor in a catastrophe bond issuer: overview | |
Regulatory Issues and Solvency Capital Requirements | |
Regulatory issues relevant for ILS sponsors | |
Solvency I | |
Solvency II | |
Standard formula, solvency capital requirement (SCR) | |
Calculation of the basic solvency capital requirement | |
Calculation of the non-life underwriting risk module | |
Calculation of the life underwriting risk module | |
Calculation of the market risk module | |
Index | |
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