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9780470748688

The Handbook of Insurance-Linked Securities

by ;
  • ISBN13:

    9780470748688

  • ISBN10:

    0470748680

  • Format: eBook
  • Copyright: 2010-01-01
  • Publisher: Wiley
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Summary

This book provides a much needed reference for finance practitioners on the rapidly growing Insurance Linked Securities markets. It will provide readers with the state of the art in Insurance-Linked Securitization, introducing the different parties involved in the transactions and their roles, the motivation for the transaction sponsors, the potential inherent pitfalls, the latest developments and transaction structures but also the key challenges faced by the market at each stage. The book will also focus on more general issues faced by the industry, including accounting and tax issues, regulatory issues and solvency capital requirements - all tackled from international perspectives.The book will be organized into two parts making a distinction between non-life and life securitization in order to accommodate the specificities of each sector. Each chapter covers a specific topic or sector of the market. After a general overview over the ILS market, the Insurance-Linked Securitization process is studied in detail.Contributions will be from leading practitioners in the field, and will feature case studies and worked examples to illustrate more complicated transactions and techniques.

Table of Contents

About the Contributors
Acknowledgements
Introduction
Non-Life Securitisation
Non-life Insurance Securitisation: Market Overview, Background and Evolution
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 Cedants 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 & Poors ratings services rating process
Risk analysis
Legal and swap documentation review process
Impact on sponsor
References
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: SCORs recent history
Atlas III and IV: Background
Atlas: Main characteristics
Basis Risk
Total Return Swap
Conclusion
Definition of events
Extension events
Case Study: Swiss Res New Natural Catastrophe Protection Program (Vega)
A positive evolution of Swiss Res 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 cedants perspective on life securitisation
Why securitise?
Life ILS can be complex
Outlook for life ILS
A cedants perspective on life securitisation
Key considerations
Examples of securitisation opportunities
Differences between securitisation and reinsurance
Rating Methodology
Fitchs 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
Further Reading
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
Reference
Regulatory Issues and Solvency Capital Requirements
Regulatory issues relevant for ILS sponsors
Solvency I
Solvency II
Standard formula, solvency capital requirement (SCR)
Index
Table of Contents provided by Publisher. All Rights Reserved.

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