The Handbook of Insurance-Linked Securities.

By: Barrieu, PaulineContributor(s): Albertini, LucaMaterial type: TextTextSeries: The Wiley Finance SerPublisher: New York : John Wiley & Sons, Incorporated, 2009Copyright date: ©2009Edition: 1st edDescription: 1 online resource (400 pages)Content type: text Media type: computer Carrier type: online resourceISBN: 9780470748688Subject(s): Risk (Insurance) | SecuritiesGenre/Form: Electronic books.Additional physical formats: Print version:: The Handbook of Insurance-Linked SecuritiesDDC classification: 332.632 LOC classification: HG8054.5.H363 2009Online resources: Click to View
Contents:
The Handbook of Insurance-Linked Securities -- Contents -- About the Contributors -- Acknowledgements -- 1 Introduction -- PART I NON-LIFE SECURITISATION -- 2 Non-life Insurance Securitisation: Market Overview, Background and Evolution -- 2.1 Market overview -- 2.2 Market dynamics -- 2.3 The question of basis risk remains -- 2.4 ILS and the credit crunch -- 3 Cedants' Perspectives on Non-life Securitization -- 3A Insurance-linked securities as part of advanced risk intermediation -- 3A.1 Motivation for Allianz to take part in ILS activities -- 3A.2 Objectives of insurance companies -- 3A.3 Case study: Blue Fin Ltd -- References -- 3B Reinsurance vs Securitisation -- 3B.1 Keeping risk vs transferring it -- 3B.2 Reinsurance vs securitisation -- 3B.3 Application to main P&C risks -- 3B.4 Case studies: Aura re and Sparc -- 3B.5 Limits and success factors to securitisation -- References -- 3C Securitisation as a diversification from traditional retrocession -- 4 Choice of Triggers -- 4.1 General aspects -- 4.2 Indemnity triggers -- 4.2.1 Scope of coverage -- 4.2.2 Payout timing -- 4.2.3 Loss verification -- 4.2.4 Transparency -- 4.3 Non-indemnity triggers -- 4.3.1 Parametric triggers (pure and index) -- 4.3.2 Industry loss triggers -- 4.3.3 Modelled loss triggers -- 4.4 Choosing the optimal trigger -- 4.4.1 Comparison of trigger types -- 4.4.2 Choice of trigger and alternative solutions -- 5 Basis Risk from the Cedant's Perspective -- 5.1 Introduction -- 5.2 Investor vs sponsor risk -- 5.3 Trigger types -- 5.4 Catastrophe models -- 5.4.1 Key components of catastrophe models -- 5.4.2 Uncertainty -- 5.5 Sources of basis risk -- 5.5.1 Source 1: Catastrophe model error/shortcomings -- 5.5.2 Source 2: Discrepancy between the modelled index loss and the modelled company loss -- 5.5.3 Source 3: Dynamic basis risk -- 5.6 Defining basis risk.
5.7 Quantifying basis risk -- 5.7.1 Measures for pro rata hedges -- 5.7.2 Measures for digital hedges -- 5.7.3 Measuring positive basis risk -- 5.8 Minimising basis risk -- 5.8.1 Over-hedging -- 5.8.2 Choice of index -- 5.8.3 Reset clauses -- 5.8.4 Cat model input -- 5.9 Conclusion -- Acknowledgements -- References -- 6 Rating Methodology -- 6.1 Standard & Poor's ratings services' rating process -- 6.1.1 Initial interaction -- 6.1.2 Risk analysis -- 6.1.3 Documentation review -- 6.1.4 Transaction closing -- 6.1.5 Surveillance -- 6.2 Risk analysis -- 6.2.1 Trigger options -- 6.2.2 Indemnity vs non-indemnity triggers -- 6.2.3 Risk factors -- 6.2.4 Adjusted probability of default -- 6.2.5 Application of methodology -- 6.2.6 Default table -- 6.2.7 Multi-event criteria -- 6.3 Legal and swap documentation review process -- 6.3.1 Insurance focus points -- 6.3.2 Legal and structural focus points -- 6.4 Impact on sponsor -- 6.4.1 Capital model treatment of ILS -- 6.4.2 Summary of basis risk analysis -- 6.4.3 Sources of basis risk -- 6.4.4 Link to ILS revised probability of attachment -- References -- 7 Risk Modelling and the Role and Benefits of Cat Indices -- 7.1 Components of a cat model -- 7.2 Insurance-linked securities -- 7.2.1 General overview -- 7.2.2 Insurance-linked security triggers -- 7.2.3 Basis risk -- 7.3 Cat indices -- 7.3.1 Property Claims Service (PCS) -- 7.3.2 Re-Ex - NYMEX -- 7.3.3 Insurance Futures Exchange Service (IFEX) -- 7.3.4 Carvill Hurricane Index (CHI) - Chicago Mercantile Exchange (CME) -- 7.3.5 Paradex -- 7.4 Summary -- 8 Legal Issues -- 8.1 The note offering - federal securities law implications -- 8.1.1 The distribution of the notes -- 8.1.2 Application of the anti-fraud provisions of the federal securities laws -- 8.1.3 Securities offering reform -- 8.1.4 Provision of information -- 8.1.5 The Investment Company Act of 1940.
8.2 The note offering - the offering circular -- 8.2.1 Important terms -- 8.2.2 ERISA considerations -- 8.2.3 Other considerations regarding the proceeds and payment of interest -- 8.2.4 The risk analysis -- 8.2.5 Opinions -- 8.3 Types of transactions -- 8.3.1 Parametric, index and modeled loss transactions -- 8.3.2 Indemnity transactions -- 8.4 Conclusion -- 9 The Investor Perspective (Non-Life) -- 9.1 The creation of a sustainable and liquid market -- 9.1.1 Creation of common terminology -- 9.1.2 Risk analysis -- 9.1.3 Correlation with other investments in the portfolio -- 9.1.4 Relative value -- 9.1.5 Valuation and liquidity -- 9.2 Key transaction features from the investor perspective -- 9.2.1 Assessment of the underlying risks being securitised -- 9.2.2 Risk assessment of the instrument -- 9.2.3 Pricing and risk-return profile -- 9.3 Market evolution: the investor perspective -- 9.3.1 Collateral arrangements -- 9.3.2 Data transparency -- 9.3.3 Exposure monitoring -- 9.3.4 Modelling rigour -- 10 ILS Portfolio Monitoring Systems -- 10.1 Introduction -- 10.1.1 Completing the circle -- 10.1.2 'Square peg in a round hole?' -- 10.2 Miu - An ILS platform in a convergent space -- 10.2.1 Overview -- 10.2.2 Nuts and bolts - how the platform works -- 10.2.3 Step by step - entering a contract -- 10.2.4 Portfolio analysis -- 10.3 RMS library of cat bond characterisations -- 10.3.1 Motivation and objectives -- 10.3.2 How is it done? A bird's eye view -- 10.3.3 Apples to apples - a leap for the market -- 10.4 Conclusion -- 11 The Evolution and Future of Reinsurance Sidecars -- 11.1 A brief history of the brief history of sidecars -- 11.2 Sidecar structures -- 11.2.1 Basic structure -- 11.2.2 Market-facing sidecar -- 11.2.3 Non-market-facing sidecar -- 11.2.4 Capitalising sidecars -- 11.2.5 How sidecars and catastrophe bonds are different.
11.3 The appeal of sidecars -- 11.3.1 From a cedant/sponsor perspective -- 11.3.2 From an investor perspective -- 11.4 Structuring considerations -- 11.5 The outlook for sidecars -- 11.6 Conclusion -- 12 Case Study: A Cat Bond Transaction by SCOR (Atlas) -- 12.1 Introduction: SCOR's recent history -- 12.2 Atlas III and IV: Background -- 12.3 Atlas: Main characteristics -- 12.4 Basis Risk -- 12.4.1 Reset -- 12.4.2 Gross up -- 12.4.3 Overlap -- 12.4.4 Synthetic covers -- 12.5 Total Return Swap -- 12.6 Conclusion -- Appendix A -- A.1 Definition of events -- A.2 Extension events -- 13 Case Study: Swiss Re's New Natural Catastrophe Protection Program (Vega) -- 13.1 A positive evolution of Swiss Re's ILS strategy -- 13.2 Swiss Re accesses multi-event natural catastrophe coverage -- 13.3 The first ILS to use a cash reserve account as credit enhancement -- 13.4 Innovation leads to more efficient protection -- PART II LIFE SECURITISATION -- 14 General Features of Life Insurance-Linked Securitisation -- 14.1 Life insurer corporate and business structures, risks and products -- 14.1.1 Mutual life offices -- 14.1.2 Proprietary life offices -- 14.1.3 Other forms of life office -- 14.1.4 Principal risks associated with life insurance business -- 14.1.5 Principal product types and associated risks -- 14.2 Actors and their roles -- 14.2.1 Sponsor -- 14.2.2 Investors -- 14.2.3 Regulators -- 14.2.4 External professional advisers -- 14.2.5 Ratings agencies -- 14.2.6 Monoline insurers -- 14.2.7 Liquidity providers -- 14.2.8 Swap providers -- 14.2.9 Others -- 14.3 Process -- 15 Cedants' Perspectives on Life Securitisation -- 15A A cedant's perspective on life securitisation -- 15A.1 Why securitise? -- 15A.2 Life ILS can be complex -- 15A.3 Outlook for life ILS -- 15B A cedant's perspective on life securitisation -- 15B.1 Key considerations.
15B.2 Examples of securitisation opportunities -- 15B.3 Differences between securitisation and reinsurance -- 16 Rating Methodology -- 16.1 Fitch's approach to the rating process -- 16.2 Insurance risk analysis -- 16.2.1 Risk modelling -- 16.2.2 Ratings benchmarks -- 16.2.3 Analysis of sponsor and other counterparties -- 16.2.4 Surveillance -- 16.3 Zest: a VIF case study -- References -- 17 Life Securitisation: Risk Modelling -- 17.1 Modelling of a catastrophic mortality transaction -- 17.2 Modelling of a VIF transaction -- 18 Life Insurance Securitisation: Legal Issues -- 18.1 Monetisation of future cash flows -- 18.1.1 Some background on monetisation -- 18.1.2 The market drivers of monetisation -- 18.1.3 Monetisation in the current climate -- 18.1.4 Some transaction structures -- 18.2 Legal aspects of life insurance securitisation - some key features -- 18.2.1 Closed book/open book -- 18.2.2 Unit-linked policies - not 'with profits' policies -- 18.2.3 Risk transfer versus no transfer -- 18.2.4 Warranties -- 18.2.5 Monoline wrap (payment obligation) -- 18.2.6 Recharacterisation risk -- 18.3 Some examples of value-in-force securitisation/monetisation -- 18.3.1 A classical VIF structure: Gracechurch -- 18.3.2 A private but reported transaction: Zest -- 18.4 Outlook -- 19 The Investor Perspective (Life) -- 19.1 Life insurance-linked risks and investor appetite -- 19.1.1 The role of the monolines -- 19.1.2 Understanding the risk -- 19.1.3 Correlation with other investments -- 19.1.4 Relative value -- 19.1.5 Valuation and liquidity -- 19.2 Key transaction features from the investor perspective -- 19.2.1 Risk assessment of the instrument -- 19.2.2 Pricing and risk-return profile -- 19.3 Market evolution: the investor perspective -- 20 Longevity Securitisation: Specific Challenges and Transactions -- 20.1 Mortality and longevity risk.
20.2 A market for longevity risk.
Summary: "Luca Albertini and Pauline Barrieu are to be congratulated on this volume. Written in a period where structured projects in finance are having a difficult time, it is worthwhile to return to the cradle of securitisation: insurance. Spread out over three parts (life, non- life, and tax and regulatory issues) the 26 chapters, written mainly by practitioners, give an excellent overview of this challenging field of modern insurance. Methodology and examples nicely go hand in hand. The overall slant being towards actual analyses of concrete products. No doubt this book will become a milestone going forward for actuarial students, researchers, regulators and practitioners alike." -Paul Embrechts, Professor of Mathematics and Director of RiskLab, ETH Zurich The convergence of insurance with the capital markets has opened up an alternative channel for insurers to transfer risk, raise capital and optimize their regulatory reserves as well as offering institutions a source of relatively liquid investment with limited correlation with other exposures. One of the financial instruments allowing for the cession of insurance-related risks to the capital markets is Insurance-Linked Securities (ILS). This book provides hands-on information essential for market participants, drawing on the insights and expertise of an impressive team of international market players, representing the various aspects and perspectives of this growing sector. The book presents the state of the art in Insurance-Linked Securitization, by exploring the various roles for the different parties involved in the transactions, the motivation for the transaction sponsors, the potential inherent pitfalls, the latest developments and transaction structures and the key challenges faced by the market. The book is organized into parts, each covering a specific topic or sector of the market. After aSummary: general overview of the ILS market, the Insurance-Linked Securitization process is studied in detail. A distinction is made between non-life and life securitization, due to the specificities of each sector. The process and all the actors involved are identified and considered in a comprehensive and systematic way. The concepts are first looked at in a general way, before the analysis of relevant case studies where the ILS technology is applied. Particular focus is given to: the key stages in both non-life and life securitizations, including the general features of the transactions, the cedant's perspectives, the legal issues, the rating methodologies, the choice of an appropriate trigger and the risk modeling, the particular challenges related to longevity securitization, the investor's perspective and the question of the management of a portfolio of ILS, the general issues related to insurance-linked securitization, such as accounting and tax issues, regulatory issues and solvency capital requirements. The book is accompanied by a website www.wiley.com/go/albertini_barrieu_ILS which will feature updates and additions to the various contributions to follow market developments.
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The Handbook of Insurance-Linked Securities -- Contents -- About the Contributors -- Acknowledgements -- 1 Introduction -- PART I NON-LIFE SECURITISATION -- 2 Non-life Insurance Securitisation: Market Overview, Background and Evolution -- 2.1 Market overview -- 2.2 Market dynamics -- 2.3 The question of basis risk remains -- 2.4 ILS and the credit crunch -- 3 Cedants' Perspectives on Non-life Securitization -- 3A Insurance-linked securities as part of advanced risk intermediation -- 3A.1 Motivation for Allianz to take part in ILS activities -- 3A.2 Objectives of insurance companies -- 3A.3 Case study: Blue Fin Ltd -- References -- 3B Reinsurance vs Securitisation -- 3B.1 Keeping risk vs transferring it -- 3B.2 Reinsurance vs securitisation -- 3B.3 Application to main P&C risks -- 3B.4 Case studies: Aura re and Sparc -- 3B.5 Limits and success factors to securitisation -- References -- 3C Securitisation as a diversification from traditional retrocession -- 4 Choice of Triggers -- 4.1 General aspects -- 4.2 Indemnity triggers -- 4.2.1 Scope of coverage -- 4.2.2 Payout timing -- 4.2.3 Loss verification -- 4.2.4 Transparency -- 4.3 Non-indemnity triggers -- 4.3.1 Parametric triggers (pure and index) -- 4.3.2 Industry loss triggers -- 4.3.3 Modelled loss triggers -- 4.4 Choosing the optimal trigger -- 4.4.1 Comparison of trigger types -- 4.4.2 Choice of trigger and alternative solutions -- 5 Basis Risk from the Cedant's Perspective -- 5.1 Introduction -- 5.2 Investor vs sponsor risk -- 5.3 Trigger types -- 5.4 Catastrophe models -- 5.4.1 Key components of catastrophe models -- 5.4.2 Uncertainty -- 5.5 Sources of basis risk -- 5.5.1 Source 1: Catastrophe model error/shortcomings -- 5.5.2 Source 2: Discrepancy between the modelled index loss and the modelled company loss -- 5.5.3 Source 3: Dynamic basis risk -- 5.6 Defining basis risk.

5.7 Quantifying basis risk -- 5.7.1 Measures for pro rata hedges -- 5.7.2 Measures for digital hedges -- 5.7.3 Measuring positive basis risk -- 5.8 Minimising basis risk -- 5.8.1 Over-hedging -- 5.8.2 Choice of index -- 5.8.3 Reset clauses -- 5.8.4 Cat model input -- 5.9 Conclusion -- Acknowledgements -- References -- 6 Rating Methodology -- 6.1 Standard & Poor's ratings services' rating process -- 6.1.1 Initial interaction -- 6.1.2 Risk analysis -- 6.1.3 Documentation review -- 6.1.4 Transaction closing -- 6.1.5 Surveillance -- 6.2 Risk analysis -- 6.2.1 Trigger options -- 6.2.2 Indemnity vs non-indemnity triggers -- 6.2.3 Risk factors -- 6.2.4 Adjusted probability of default -- 6.2.5 Application of methodology -- 6.2.6 Default table -- 6.2.7 Multi-event criteria -- 6.3 Legal and swap documentation review process -- 6.3.1 Insurance focus points -- 6.3.2 Legal and structural focus points -- 6.4 Impact on sponsor -- 6.4.1 Capital model treatment of ILS -- 6.4.2 Summary of basis risk analysis -- 6.4.3 Sources of basis risk -- 6.4.4 Link to ILS revised probability of attachment -- References -- 7 Risk Modelling and the Role and Benefits of Cat Indices -- 7.1 Components of a cat model -- 7.2 Insurance-linked securities -- 7.2.1 General overview -- 7.2.2 Insurance-linked security triggers -- 7.2.3 Basis risk -- 7.3 Cat indices -- 7.3.1 Property Claims Service (PCS) -- 7.3.2 Re-Ex - NYMEX -- 7.3.3 Insurance Futures Exchange Service (IFEX) -- 7.3.4 Carvill Hurricane Index (CHI) - Chicago Mercantile Exchange (CME) -- 7.3.5 Paradex -- 7.4 Summary -- 8 Legal Issues -- 8.1 The note offering - federal securities law implications -- 8.1.1 The distribution of the notes -- 8.1.2 Application of the anti-fraud provisions of the federal securities laws -- 8.1.3 Securities offering reform -- 8.1.4 Provision of information -- 8.1.5 The Investment Company Act of 1940.

8.2 The note offering - the offering circular -- 8.2.1 Important terms -- 8.2.2 ERISA considerations -- 8.2.3 Other considerations regarding the proceeds and payment of interest -- 8.2.4 The risk analysis -- 8.2.5 Opinions -- 8.3 Types of transactions -- 8.3.1 Parametric, index and modeled loss transactions -- 8.3.2 Indemnity transactions -- 8.4 Conclusion -- 9 The Investor Perspective (Non-Life) -- 9.1 The creation of a sustainable and liquid market -- 9.1.1 Creation of common terminology -- 9.1.2 Risk analysis -- 9.1.3 Correlation with other investments in the portfolio -- 9.1.4 Relative value -- 9.1.5 Valuation and liquidity -- 9.2 Key transaction features from the investor perspective -- 9.2.1 Assessment of the underlying risks being securitised -- 9.2.2 Risk assessment of the instrument -- 9.2.3 Pricing and risk-return profile -- 9.3 Market evolution: the investor perspective -- 9.3.1 Collateral arrangements -- 9.3.2 Data transparency -- 9.3.3 Exposure monitoring -- 9.3.4 Modelling rigour -- 10 ILS Portfolio Monitoring Systems -- 10.1 Introduction -- 10.1.1 Completing the circle -- 10.1.2 'Square peg in a round hole?' -- 10.2 Miu - An ILS platform in a convergent space -- 10.2.1 Overview -- 10.2.2 Nuts and bolts - how the platform works -- 10.2.3 Step by step - entering a contract -- 10.2.4 Portfolio analysis -- 10.3 RMS library of cat bond characterisations -- 10.3.1 Motivation and objectives -- 10.3.2 How is it done? A bird's eye view -- 10.3.3 Apples to apples - a leap for the market -- 10.4 Conclusion -- 11 The Evolution and Future of Reinsurance Sidecars -- 11.1 A brief history of the brief history of sidecars -- 11.2 Sidecar structures -- 11.2.1 Basic structure -- 11.2.2 Market-facing sidecar -- 11.2.3 Non-market-facing sidecar -- 11.2.4 Capitalising sidecars -- 11.2.5 How sidecars and catastrophe bonds are different.

11.3 The appeal of sidecars -- 11.3.1 From a cedant/sponsor perspective -- 11.3.2 From an investor perspective -- 11.4 Structuring considerations -- 11.5 The outlook for sidecars -- 11.6 Conclusion -- 12 Case Study: A Cat Bond Transaction by SCOR (Atlas) -- 12.1 Introduction: SCOR's recent history -- 12.2 Atlas III and IV: Background -- 12.3 Atlas: Main characteristics -- 12.4 Basis Risk -- 12.4.1 Reset -- 12.4.2 Gross up -- 12.4.3 Overlap -- 12.4.4 Synthetic covers -- 12.5 Total Return Swap -- 12.6 Conclusion -- Appendix A -- A.1 Definition of events -- A.2 Extension events -- 13 Case Study: Swiss Re's New Natural Catastrophe Protection Program (Vega) -- 13.1 A positive evolution of Swiss Re's ILS strategy -- 13.2 Swiss Re accesses multi-event natural catastrophe coverage -- 13.3 The first ILS to use a cash reserve account as credit enhancement -- 13.4 Innovation leads to more efficient protection -- PART II LIFE SECURITISATION -- 14 General Features of Life Insurance-Linked Securitisation -- 14.1 Life insurer corporate and business structures, risks and products -- 14.1.1 Mutual life offices -- 14.1.2 Proprietary life offices -- 14.1.3 Other forms of life office -- 14.1.4 Principal risks associated with life insurance business -- 14.1.5 Principal product types and associated risks -- 14.2 Actors and their roles -- 14.2.1 Sponsor -- 14.2.2 Investors -- 14.2.3 Regulators -- 14.2.4 External professional advisers -- 14.2.5 Ratings agencies -- 14.2.6 Monoline insurers -- 14.2.7 Liquidity providers -- 14.2.8 Swap providers -- 14.2.9 Others -- 14.3 Process -- 15 Cedants' Perspectives on Life Securitisation -- 15A A cedant's perspective on life securitisation -- 15A.1 Why securitise? -- 15A.2 Life ILS can be complex -- 15A.3 Outlook for life ILS -- 15B A cedant's perspective on life securitisation -- 15B.1 Key considerations.

15B.2 Examples of securitisation opportunities -- 15B.3 Differences between securitisation and reinsurance -- 16 Rating Methodology -- 16.1 Fitch's approach to the rating process -- 16.2 Insurance risk analysis -- 16.2.1 Risk modelling -- 16.2.2 Ratings benchmarks -- 16.2.3 Analysis of sponsor and other counterparties -- 16.2.4 Surveillance -- 16.3 Zest: a VIF case study -- References -- 17 Life Securitisation: Risk Modelling -- 17.1 Modelling of a catastrophic mortality transaction -- 17.2 Modelling of a VIF transaction -- 18 Life Insurance Securitisation: Legal Issues -- 18.1 Monetisation of future cash flows -- 18.1.1 Some background on monetisation -- 18.1.2 The market drivers of monetisation -- 18.1.3 Monetisation in the current climate -- 18.1.4 Some transaction structures -- 18.2 Legal aspects of life insurance securitisation - some key features -- 18.2.1 Closed book/open book -- 18.2.2 Unit-linked policies - not 'with profits' policies -- 18.2.3 Risk transfer versus no transfer -- 18.2.4 Warranties -- 18.2.5 Monoline wrap (payment obligation) -- 18.2.6 Recharacterisation risk -- 18.3 Some examples of value-in-force securitisation/monetisation -- 18.3.1 A classical VIF structure: Gracechurch -- 18.3.2 A private but reported transaction: Zest -- 18.4 Outlook -- 19 The Investor Perspective (Life) -- 19.1 Life insurance-linked risks and investor appetite -- 19.1.1 The role of the monolines -- 19.1.2 Understanding the risk -- 19.1.3 Correlation with other investments -- 19.1.4 Relative value -- 19.1.5 Valuation and liquidity -- 19.2 Key transaction features from the investor perspective -- 19.2.1 Risk assessment of the instrument -- 19.2.2 Pricing and risk-return profile -- 19.3 Market evolution: the investor perspective -- 20 Longevity Securitisation: Specific Challenges and Transactions -- 20.1 Mortality and longevity risk.

20.2 A market for longevity risk.

"Luca Albertini and Pauline Barrieu are to be congratulated on this volume. Written in a period where structured projects in finance are having a difficult time, it is worthwhile to return to the cradle of securitisation: insurance. Spread out over three parts (life, non- life, and tax and regulatory issues) the 26 chapters, written mainly by practitioners, give an excellent overview of this challenging field of modern insurance. Methodology and examples nicely go hand in hand. The overall slant being towards actual analyses of concrete products. No doubt this book will become a milestone going forward for actuarial students, researchers, regulators and practitioners alike." -Paul Embrechts, Professor of Mathematics and Director of RiskLab, ETH Zurich The convergence of insurance with the capital markets has opened up an alternative channel for insurers to transfer risk, raise capital and optimize their regulatory reserves as well as offering institutions a source of relatively liquid investment with limited correlation with other exposures. One of the financial instruments allowing for the cession of insurance-related risks to the capital markets is Insurance-Linked Securities (ILS). This book provides hands-on information essential for market participants, drawing on the insights and expertise of an impressive team of international market players, representing the various aspects and perspectives of this growing sector. The book presents the state of the art in Insurance-Linked Securitization, by exploring the various roles for the different parties involved in the transactions, the motivation for the transaction sponsors, the potential inherent pitfalls, the latest developments and transaction structures and the key challenges faced by the market. The book is organized into parts, each covering a specific topic or sector of the market. After a

general overview of the ILS market, the Insurance-Linked Securitization process is studied in detail. A distinction is made between non-life and life securitization, due to the specificities of each sector. The process and all the actors involved are identified and considered in a comprehensive and systematic way. The concepts are first looked at in a general way, before the analysis of relevant case studies where the ILS technology is applied. Particular focus is given to: the key stages in both non-life and life securitizations, including the general features of the transactions, the cedant's perspectives, the legal issues, the rating methodologies, the choice of an appropriate trigger and the risk modeling, the particular challenges related to longevity securitization, the investor's perspective and the question of the management of a portfolio of ILS, the general issues related to insurance-linked securitization, such as accounting and tax issues, regulatory issues and solvency capital requirements. The book is accompanied by a website www.wiley.com/go/albertini_barrieu_ILS which will feature updates and additions to the various contributions to follow market developments.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2018. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.

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