The Pricing of Insurance-Linked Securities Under Interest Rate Uncertainty PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Pricing of Insurance-Linked Securities Under Interest Rate Uncertainty PDF full book. Access full book title The Pricing of Insurance-Linked Securities Under Interest Rate Uncertainty by Patrice Poncet. Download full books in PDF and EPUB format.
Author: Patrice Poncet
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Key structures for insurance risk transfer to capital markets are insurance-linked securities issued by industrial corporations and insurance-reinsurance companies. This paper develops an arbitrage approach to valuing these structured products for non-catastrophic events in a framework of stochastic interest rates. Stochastic interest rates can for instance be thought as obeying the Heath, Jarrow and Morton (1992) model, if one accepts Gaussian rates, or the Cox, Ingersoll and Ross (1985) model if not. We implement techniques of change of numeraire and time, and the valuation comes down to deriving first-passage time distributions of drifted Brownian motion. We provide closed-form solutions in some situations. We highlight that prices of these structured products are driven by an interest-rate factor in addition to a nature-risk factor, the impact of which must not be underestimated. In particular, the duration of insurance-linked securities is in most cases higher than the Macaulay duration of riskfree bonds, which implies that their alleged out-performance over the latter is illusory.
Author: Patrice Poncet
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Key structures for insurance risk transfer to capital markets are insurance-linked securities issued by industrial corporations and insurance-reinsurance companies. This paper develops an arbitrage approach to valuing these structured products for non-catastrophic events in a framework of stochastic interest rates. Stochastic interest rates can for instance be thought as obeying the Heath, Jarrow and Morton (1992) model, if one accepts Gaussian rates, or the Cox, Ingersoll and Ross (1985) model if not. We implement techniques of change of numeraire and time, and the valuation comes down to deriving first-passage time distributions of drifted Brownian motion. We provide closed-form solutions in some situations. We highlight that prices of these structured products are driven by an interest-rate factor in addition to a nature-risk factor, the impact of which must not be underestimated. In particular, the duration of insurance-linked securities is in most cases higher than the Macaulay duration of riskfree bonds, which implies that their alleged out-performance over the latter is illusory.
Author: Thomas Nowak
Publisher: VVW GmbH
ISBN: 3899528387
Category : Business & Economics
Languages : en
Pages : 316
Get Book Here
Book Description
Unter Insurance-Linked Securities (ILS) versteht man innovative Finanzprodukte, welche Versicherungsrisiken aus den eng abgegrenzten Märkten der Erst- und Rückversicherungswirtschaft herauslösen und mittels Verbriefung auf Kapitalmärkten handelbar machen. Durch ILS erhalten Investoren die Möglichkeit, für die Bereitstellung von Deckungskapital in Versicherungsrisiken zu investieren und im Gegenzug eine Versicherungsprämie zu erhalten. Hierbei verfolgt das Werk zwei Ziele. Zum Einen, die Durchführung einer genauen Analyse der zugrunde liegenden Zahlungsströme, der beworbenen Eigenschaften und jener Risiken, welche mit einer Investition in ILS verbunden sind. Zum Anderen, die Überprüfung der Anwendbarkeit und Passgenauigkeit vorgeschlagener versicherungsmathematischer und marktorientierter Bewertungsverfahren für ILS sowie die Unterbreitung möglicher Vorschläge für Bewertungsverfahren. Da ILS regelmäßig dazu verwendet werden Extremrisiken zu verbriefen, werden beide Untersuchungen unter expliziter Berücksichtigung der statistischen Eigenschaften von Extremrisiken durchgeführt. Im Ergebnis lässt sich festhalten, dass ILS Investitionen mit eigenen Spezifika darstellen. Investoren sollten diese kennen und berücksichtigen. Dies gilt gerade vor dem Hintergrund der stetig steigenden Zahl von ILS, welche insbesondere in den Zeiten der Niedrigzinsphase als attraktives Investment gesehen werden. Das Buch richtet sich an Investoren und Interessierte, die sich über ILS als Investitionen und deren Bewertung informieren möchten.
Author: Alex Krutov
Publisher:
ISBN: 9781904339564
Category : Insurance
Languages : en
Pages : 480
Get Book Here
Book Description
Information on the types of these securities and the issues involved in their structuring, pricing, trading, and managing on a portfolio basis.
Author: Morton Lane
Publisher: Bharat Book Bureau
ISBN: 9781899332632
Category : Insurance
Languages : en
Pages : 684
Get Book Here
Book Description
A ground-breaking volume that fully exposes the relatively new area of risk financing from traditional methods of insurance and provides analysis of the intersection of insurance and finance. \r\nKulp-Wright Book Award winner 2002 - Nominated "Runner-Up" by the American Risk and Insurance Association (ARIA)
Author: Frank H. Knight
Publisher: Cosimo, Inc.
ISBN: 1602060053
Category : Business & Economics
Languages : en
Pages : 401
Get Book Here
Book Description
A timeless classic of economic theory that remains fascinating and pertinent today, this is Frank Knight's famous explanation of why perfect competition cannot eliminate profits, the important differences between "risk" and "uncertainty," and the vital role of the entrepreneur in profitmaking. Based on Knight's PhD dissertation, this 1921 work, balancing theory with fact to come to stunning insights, is a distinct pleasure to read. FRANK H. KNIGHT (1885-1972) is considered by some the greatest American scholar of economics of the 20th century. An economics professor at the University of Chicago from 1927 until 1955, he was one of the founders of the Chicago school of economics, which influenced Milton Friedman and George Stigler.
Author: Pauline Barrieu
Publisher: John Wiley & Sons
ISBN: 0470685085
Category : Business & Economics
Languages : en
Pages : 612
Get Book Here
Book Description
"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.
Author: Mr.Andreas A. Jobst
Publisher: International Monetary Fund
ISBN: 149832455X
Category : Business & Economics
Languages : en
Pages : 84
Get Book Here
Book Description
Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
Get Book Here
Book Description
![Insurance Securitization [electronic Resource] : Catastrophic Event Exposure and the Role of Insurance Linked Securities in Addressing Risk PDF](https://books.google.com/books/content/images/frontcover/X22wnQAACAAJ?fife=w80-h100)
Author: Kovacs, Paul J. E
Publisher:
ISBN: 9780973221350
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Thordur Jonasson
Publisher: International Monetary Fund
ISBN: 1484350545
Category : Business & Economics
Languages : en
Pages : 133
Get Book Here
Book Description
This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and attain desired portfolio structures. Also, the paper outlines how LMOs could be integrated into a debt management strategy and serve as policy tools to reduce potential debt portfolio vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk management framework, interactions of debt management with fiscal policy, monetary policy, and financial stability, as well as efficient government bond markets.
