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MANAGEMENT AND INSURANCE RISK ANALYSIS

BIBLIOGRAPHY

Extensive reference source on insurance‐linked securities, reinsurance,

insurance, analysis of insurance risk, management of portfolios of

insurance risk, insurance catastrophe modeling, construction and

optimization of insurance risk portfolios, cat bonds, reinsurance

structures, risk accumulation, risk measures in insurance and reinsurance,

enterprise risk management for insurance and reinsurance companies,

regulatory arbitrage in insurance and reinsurance, direct and indirect

investment in insurance and reinsurance risk, use of actuarial analytical

tools, risk and return tradeoffs, risk‐based capital, stochastic analysis,

and global trends in insurance, reinsurance and capital markets

Taken from Alex Krutov, Investing in Insurance Risk (Insurance‐Linked

Securities – A Practitioner’s Perspective), Risk Books, London, 2011

Most comprehensive

Will soon require an update

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- 1. INSURANCE‐LINKED SECURITIES, REINSURANCE, RISK MANAGEMENT AND INSURANCE RISK ANALYSIS BIBLIOGRAPHY Extensive reference source on insurance‐linked securities, reinsurance, insurance, analysis of insurance risk, management of portfolios of insurance risk, insurance catastrophe modeling, construction and optimization of insurance risk portfolios, cat bonds, reinsurance structures, risk accumulation, risk measures in insurance and reinsurance, enterprise risk management for insurance and reinsurance companies, regulatory arbitrage in insurance and reinsurance, direct and indirect investment in insurance and reinsurance risk, use of actuarial analytical tools, risk and return tradeoffs, risk‐based capital, stochastic analysis, and global trends in insurance, reinsurance and capital markets Taken from Alex Krutov, Investing in Insurance Risk (Insurance‐Linked Securities – A Practitioner’s Perspective), Risk Books, London, 2011 > Most comprehensive > Will soon require an update Compliant with DMCA criteria
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- 4. REFERENCESBooth, H., R. J. Hyndman, L. Tickle and P. de Jong, 2006, “Lee-Carter Mortality Forecasting: AMulti-Country Comparison of Variants and Extensions”, Demographic Research, 15, pp. 289–310.Booth, H. and L. Tickle, 2008, “Mortality Modelling and Forecasting: A Review of Methods”,Annals of Actuarial Science, 3, pp. 3–43.Borak, S., W. Härdle and R. Weron, 2005, Statistical Tools for Finance and Insurance, (Berlin:Springer).Bouriaux, S., 2001, “Basis Risk, Credit Risk and Collateralization Issues for Insurance-LinkedDerivatives and Securities”, Journal of Insurance Regulation, 20(1), pp. 94–120.Bouriaux, S. and R. MacMinn, 2009, “Securitization of Catastrophe Risk: New Developmentsin Insurance- Linked Securities and Derivatives”, Journal of Insurance Issues, 32(1), pp. 1–34.Bowers, N., H. Gerber, J. Hickman, D. Jones and C. Nesbitt, 1997, Actuarial Mathematics,(Schaumburg, IL: Society of Actuaries).Boyle, P., M. Hardy and T. C. F Vorst, 2005, “Life after VaR”, The Journal of Derivatives, 13(1),pp. 48–55.Boyle, P. and W. Tian, 2007, “Portfolio Management with Constraints”, Mathematical Finance,17(3), pp. 319–344.Brabazon, A., and M. O’Neill, 2006, Biologically Inspired Algorithms for Financial Modeling,(Berlin: Springer-Verlag).Brady, M., 2008, “How Will Longer Life Expectancy Estimates Impact Settlements?”, NationalUnderwriter (December 3).Brockett, P., M. Wang, C. Yang and H. Zou, 2006, “Portfolio Effects and Valuation of WeatherDerivatives”, Financial Review, 41, pp. 55–76.Brockett, P., L. Golden, M.-M. Wen and C. C. Yang, 2009, “Pricing Weather Derivatives Usingthe Indifference Pricing Approach”, North American Actuarial Journal, 13(3), pp. 303–315.Bromann, K., 2008, “ILS Investments and Portfolio Diversification”, Presentation, Workshop onInsurance-Linked Securities, Imperial College, London (October 31).Cain, M. and D. Peel, 2004, “Utility and the Skewness of Return in Gambling”, Geneva Papers onRisk and Insurance, 29(2), pp. 145–163.Cairns, A. J. G., D. Blake and K. Dowd, 2004, “Pricing Framework for Securitization ofMortality Risk”, Technical Report, Heriot-Watt University.Cairns, A. J. G., D. Blake and K. Dowd, 2006, “Pricing Death: Frameworks for the Valuationand Securitization of Mortality Risk”, ASTIN Bulletin, 36, pp. 79–120.Cairns, A., D. Blake, D. and K. Dowd, 2006, “A Two-Factor Model for Stochastic Mortality withParameter Uncertainty: Theory and Calibration”, The Journal of Risk and Insurance, 73, pp.687–718.Cairns, A. J. G., D. Blake and K. Dowd, 2008, “Modelling and Management of Mortality Risk:A Review”, Pension Institute Discussion Paper PI-0814.Cairns, A. J. G., D. Blake, K. Dowd, G. D. Coughlan, and M. Khalaf-Allah, 2008, “MortalityDensity Forecasts: An Analysis of Six Stochastic Mortality Models”, Pension InstituteDiscussion Paper PI-0801.Cairns, A. J. G., D. Blake, K. Dowd, G. D. Coughlan, D. Epstein, A. Ong, and I. Balevich, 2009,“A Quantitative Comparison of Stochastic Mortality Models Using Data from England andWales and the United States”, North American Actuarial Journal, 13(1), pp. 1–35.Cairns, A., 2009, “The Government is Planning to Raise the Age of Retirement ... but are ScotsGetting a Fair Deal?”, The Sunday Herald (September 20). 455
- 5. INVESTING IN INSURANCE RISK Campbell, K. and W. Keogh, 2009, “Understanding of Earthquake Risk Improving Dramatically in U.S.”, EQECAT, ABS Consulting Group. Canabarro E., M. Finkemeier, R. R. Anderson and F. Bendimerad, 2000, “Analyzing Insurance- Linked Securities”, The Journal of Risk Finance, 1(2), pp. 49–75. Canter, M. S., J. B. Cole and R. L. Sandor, 1996, “Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry”, Journal of Derivatives, 4, pp. 89–105. Cao, M. and J. Wei, 2004, “Weather Derivatives Valuation and Market Price of Weather Risk”, Journal of Futures Markets, 24(11), pp. 1065–1089. Casey, B. T. and T. D. Sherman, 2007, “Are Life Settlements a Security?”, The Journal of Structured Finance, 12(4), pp. 55–60. CFA Institute, 2006, Global Investment Performance Standards (GIPS) Handbook (2nd Ed.), (Charlottesville, VA: CFA Institute). Chacko, G., P. Hecht, V. Dessain, A. Sjoman and A. J. Plotkin, 2004, “Bank Leu’s Prima Cat Bond Fund”, Harvard Business School. Chance, D., 2004, “Default Risk as an Option”, Financial Engineering News Magazine, 38 (January/February), pp. 15–22. Chen, H. and S. Cox, 2009, “Modeling Mortality with Jumps: Applications to Mortality Securitization”, The Journal of Risk and Insurance, 76(3), pp. 727–751. Chen, H. and J. D. Cummins, 2009, “Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing”, Insurance: Mathematics and Economics, Submitted. Chen, S.-H., 1998, “Evolutionary Computation in Financial Engineering: A Road Map of GAs and GP”, Financial Engineering News Magazine, 6, pp. 3–11. Chua, D. B., M. Kritzman and S. Page, 2009, “The Myth of Diversification”, The Journal of Portfolio Management, 36(1), pp. 26–35. Chung, J., 2007, “Single Product Sector Urged for Longevity Risk”, Financial Times (July 2). Clarke, R. G., H. de Silva and B. Wander, 2002, “Risk Allocation versus Asset Allocation”, The Journal of Portfolio Management, 29, pp. 9–30. Cobley, M., 2008, “U.K. Firms Face Rising Longevity of Workers”, The Wall Street Journal (July 1). Cohen, N. and J. Lemer, 2009, “Babcock Pension to Hedge Risk of Longevity”, Financial Times (May 13). Cole, C. R. and K. A. McCullough, 2006, “A Reexamination of the Corporate Demand for Reinsurance”, The Journal of Risk and Insurance, 73(1), pp. 169–192. Congressional Budget Office, 2005, “A Potential Influenza Pandemic: Possible Macroeconomic Effects and Policy Issues”, CBO (December 8). Conning Research and Consulting, Inc., 2007, Life Settlement Market: Increasing Capital and Investor Demand, (Hartford, CT: Conning Research and Consulting). Conning Research and Consulting, Inc., 2008, Life Settlements: New Challenges to Growth, (Hartford, CT: Conning Research and Consulting). Cossette, H., T. Duchesne and E. Marceau, 2003, “Modeling Catastrophes and Their Impact on Insurance Portfolios”, North American Actuarial Journal, 7(4), pp. 1–22. Coughlan, G., D. Epstein, A. Ong, A. Sinha, J. Hevia-Portocarrero, E. Gingrich, M. Khalaf- Allah and P. Joseph, 2007, LifeMetrics: A Toolkit for Measuring and Managing Longevity and Mortality Risks, Technical Document, JP Morgan.456
- 6. REFERENCESCoughlan, G., D. Epstein, A. Sinha and P. Honig, 2007, “q-Forwards: Derivatives forTransferring Longevity and Mortality Risk”, JP Morgan Pension Advisory Group, JP Morgan.Cowley, A. and J. D. Cummins, 2005, “Securitization of Life Insurance Assets and Liabilities”,The Journal of Risk and Insurance, 72, pp. 193–226.Cox, S. H. and H. W. Pedersen, 2000, “Catastrophe Risk Bonds”, North American ActuarialJournal, 4(4), pp. 56–82.Cox, S. H. and Y. Lin, 2004, “Natural Hedging of Life and Annuity Mortality Risks”, Proceedingsof the 14th International AFIR Colloquium, pp. 483–507.Cox, S. H., Y. Lin and S. Wang, 2006, “Multivariate Exponential Tilting And PricingImplications For Mortality Securitization”, The Journal of Risk and Insurance, December, 73(4), pp.719–736.Cox, S. and Y. Lin, 2007, “Natural Hedging of Life and Annuity Mortality Risks”, NorthAmerican Actuarial Journal, 11(3), pp. 1–15.Crama, Y. and M. Schyns, 2003, “Simulated Annealing for Complex Portfolio SelectionProblems”, European Journal of Operational Research, 150(3), pp. 546–571.Cremers, J. H., M. Kritzman and S. Page, 2005, “Optimal Hedge Fund Allocations”, The Journalof Portfolio Management, 31(3), pp. 70–81.Csiszar, E. N., 2007, “An Update on the Use of Modern Financial Instruments in the InsuranceSector”, The Geneva Papers on Risk and Insurance, 32, pp. 319–331.Culp, C. L., 2006, Structured Finance and Insurance, (Hoboken, NJ: Wiley & Sons).Cummins, J. D., D. Lalonde and R. D. Phillips, 2004, “The Basis Risk of Index-LinkedCatastrophic Loss Securities”, Journal of Financial Economics, 71, pp. 77–111.Cummins, J. D., 2005, “Convergence in Wholesale Financial Services: Reinsurance andInvestment Banking”, The Geneva Papers on Risk and Insurance, 30, pp. 187–22.Cummins, J. D., 2006, “Should the Government Provide Insurance for Catastrophes?”, FederalReserve Bank of St. Louis Review, 88, pp. 337–379.Cummins, J. D., 2008, “Cat Bond and Other Risk-Linked Securities: State of the Market andRecent Developments”, Risk Management and Insurance Review, 11(1), pp. 23–47.Cummins, J. D. and P. Trainar, 2009, “Securitization, Insurance and Reinsurance”, The Journalof Risk and Insurance, 76(3), pp. 463–492.Cummins, J. D. and M. A. Weiss, 2009, “Convergence of Insurance and Financial Markets:Hybrid and Securitized Risk-Transfer Solutions”, The Journal of Risk and Insurance, 76(3), pp.493–545.Currie, I. D., M. Durban and P. H. C. Eilers, 2004, “Smoothing and Forecasting MortalityRates”, Statistical Modelling, 4, pp. 279–98.Dahl, M., M. Melchior and T. Muller, 2008, “On Systematic Mortality Risk and RiskMinimisation with Survivor Swaps”, Scandinavian Actuarial Journal, 2–3, pp. 114–46.Davies, J., 2007, “Swiss Re Indices Seek to Make Catastrophe Clearer”, Financial Times (July 2)Davies, J., 2009, “Opportunities in Risk”, Financial Times (October 16).Dawson, P., D. Blake, A. J. G. Cairns and K. Dowd, 2007, “Completing the SurvivorDerivatives Market”, Pensions Institute Discussion Paper PI-0712.DBRS, 2008, “Increased Life Expectance: Implications for Life Settlement Transactions”, USStructured Finance Newsletter, 4(25) (June 23).DBRS, 2008, “Rating U.S. Life Settlement Securitizations”, New York (February). 457
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