A practical guide for all insurance risk professionals, the book includes details of the latest practices in insurance-linked investment, developed since the publication of the first edition. Covering topics such as side pockets, industry loss warranties, fronting, side cars and portfolio optimisation, Alternative (Re)insurance Strategies: Second Edition encapsulates the growth and innovations in this ever popular market.
Ten years on from the publication of the first edition, Alternative (Re)insurance Strategies: Second Edition is a completely updated, comprehensive review of the current state of the insurance securitisation market, as practiced by issuers, direct investors and investment managers.
The financial crisis of 2008 proved that insurance risk has a low correlation with wider financial risk. Investments in the insurance sector - particularly insurance-linked securities (ILS) - have increased markedly, with practitioners capitalising on the successes of investing in insurance risk.
Capturing the transformation and expansion of the ILS and catastrophe bond market, as well as looking forward to the emerging trends and future direction of the market, this book provides a timely and thorough examination of the market that informs new participants, as well as providing insight and new angles to experienced practitioners.
Edited by Morton Lane, a leading expert involved in the ILS market for the past 20 years, this book brings together investors, issuers and regulators with expertise and vast experience in the ILS market. The book gives readers the viewpoints of their counterparties for a detailed and complete understanding of the ILS market.
A practical guide for all insurance risk professionals, the book includes details of the latest practices in insurance-linked investment, developed since the publication of the first edition. Covering topics such as side pockets, industry loss warranties, fronting, side cars and portfolio optimisation, Alternative (Re)insurance Strategies: Second Edition encapsulates the growth and innovations in this ever popular market. SHOW LESS READ MORE >
Section 1 – Perspectives on the Securitization of (Re)insurance
A History of Direct Insurance-Linked Investments
Good Derivatives: Why Securitisation of Insurance Risks Matters
Richard Sandor and Sylvie Bouriaux
Section 2 – Developments in Insurance-Linked Products
Convergence at High Tide: The Catastrophe Finance Market
Industry Loss Warranties
Fronting for Collateralized Reinsurance Capacity
Section 3 – Issuance: Buying Protection, Raising Capital
Risk Transformation through Capital Markets
A Case Study of a Consistent Insurance-Linked Securities Issuer: United Services Automobile Association
Morton Lane and Roger Beckwith
Section 4 – Agents of Issuance: The Facilitators
Issues and Issuance
Paul Schultz and Erin Lakshmanan
Advances in ILS Portfolio Management Analytics
Peter Nakada and Dominic Smith
Role of Catastrophe Risk Modelling in Insurance-Linked Securities
Brent Poliquin and David Lalonde
Section 5 – Investing: Selling Protection, Providing Capital
Managing an Insurance-Linked Securities Hedge Fund
Frank Majors and Laura Taylor
Insurance-Linked Securities Hedge Fund Business Models
Some Reflections on the Insurance-Linked Securities Market from an Institutional Investor Perspective
Bernard Van der Stichele
Section 6 – Reflections on ILS Structural Issues
Learning it the Hard Way: An Analysis of Cat Bond Investing Pitfalls
Some Considerations with Collateralised Reinsurance and Side Pockets
Legal and Transaction Structure Developments in Insurance-Linked Securities
Michael Pinsel and Bobbi Anderson
Solvency II and the Implications for Insurance-Linked Securities and Special Purpose Vehicles
Section 7 – Risk Management and Portfolio Considerations
The "At-Risk" Metrics and Measures
Portfolio Optimization with Insurance Linked Asset Classes
Adolfo Pena, Chris Parish and Pascal Karsenti
Insurance-Linked Securities Market-Derived Metrics: Implications for Risk Adjustment Transforms
Morton Lane and Jerome Kreuser
Property Claims Services Industry Loss Estimates
The PERILS Index
Luzi Hitz and Eduard Held
The Basics of Catastrophe Bond Mathematics and Insurance-Linked Securities Pricing
Insurance as a Second Language
Catastrophe-based Insurance-Linked Securities and Selected Issuance Statistics (1998-June 2012)
Insurance-Linked Securities Loss Experiences
Insurance-Linked Securities Return Experience
Morton Lane is the Director of the Master of Science in Financial Engineering (MSFE) program at the University of Illinois, a program that combines the latest in finance and engineering.
Morton Lane also acts as an independent consultant and president of Lane Financial, LLC, a broker-dealer engaged in activity at the intersection of the reinsurance and capital markets. Previously, Morton has been president of Sedgwick Lane Financial, senior managing director of the Capital Markets Division at Gerling Global Financial Products (GGFP), president of Discount Corp of New York Futures, senior managing director and head of commodities of Bear Stearns & Co, president of Lind-Waldock, investment officer for The World Bank, and lecturer at the London Graduate School of Business Studies.
Morton is a prominent speaker on insurance and securitisation and has written numerous articles on this subject. He has been awarded the Charles A. Hachemeister Prize for his article on “Pricing Risk Transfer Transactions” published in the Actuarial Studies in Non-life Insurance (ASTIN) Bulletin. In 2010 he received the “Outstanding Contributor” award from Trading Risk magazine, only the second person to do so. He is a past appointed member of the Board of the Casualty Actuarial Society. He has co-authored two books on financial derivatives, The Treasury Bond Basis (1989) and Eurodollar Futures (1991), and edited a third on insurance securitization, Alternative Risk Strategies (2002).
Morton earned a first in B Soc Sc from Birmingham University in mathematics, economics and statistics, and his Ph D in mathematics, business administration and computer science from the University of Texas.