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Insurance Linked Securities, Reinsurance, Risk Management REFERENCES


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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

Published in: Economy & Finance, Business
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Insurance Linked Securities, Reinsurance, Risk Management REFERENCES

  1. 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 
  2. 2. ReferencesAase, K., 1999, “An Equilibrium Model of Catastrophe Insurance Futures and Spreads”, GenevaPapers on Risk and Insurance, 24, pp. 69–96.Aase, K., 2001, “A Markov Model for the Pricing of Catastrophe Insurance Futures andSpreads”, The Journal of Risk and Insurance, 68(1), pp. 25–50.ABI, 2009, “The Financial Risks of Climate Change”, ABI Research Paper No 19, ReportPrepared by AIR Worldwide Corp. and the Met OfficeAchaerf, A., 2002, “Local Search Techniques for Constrained Portfolio Selection Problems”,Computational Economics, 20(3), pp. 177–190.AIR Worldwide, 2009, “The AIR Hurricane Model: AIR Atlantic Tropical Cyclone ModelV11.0”, Submitted to the Florida Commission on Hurricane Loss Projection Methodology, FinalSubmission (May).AIR Worldwide, 2009, “AIR Worldwide Sponsors the Global Earthquake Model (GEM)Project”, Press Release (February 25).Allen, F. and E. Carletti, 2006, “Mark-to-Market Accounting and Liquidity Pricing”, WorkingPaper 06–15, Wharton Financial Institutions Center.American Academy of Actuaries, 1999, “Evaluating the Effectiveness of Index-Based InsuranceDerivatives in Hedging Property/Casualty Insurance Transactions”, Report of the IndexSecuritization Task Force, Washington, DC.American Academy of Actuaries, 2002, Final Report of the American Academy of ActuariesCommissioners Standard Ordinary Task Force, Presented in Draft to the National Associationof Insurance Commissioners Life and Health Actuarial Task Force, Washington, DC.Antolin, P. and H. Blommestein, 2007, “Governments and the Market for Longevity-IndexedBonds”, Organisation for Economic Co-operation and Development Working Papers onInsurance and Private Pensions, OECD Publishing.Aon Benfield, 2009, Insurance-Linked Securities: Adopting to an Evolving Market, (Chicago: AonBenfield).Aon Benfield, 2009, Reinsurance Market Outlook, (Chicago: Aon Benfield).Artzner P., F. Delbaen, J.-M. Eber and D. Heath, 1999, “Coherent Measures of Risk”,Mathematical Finance, 9(3), pp. 203–228.AXA Structured Finance, 2009, “Facing the Storm with Catastrophe Bonds”, AXA InvestmentManager’s Research Review, Paris: AXA.Barro, R. J., 2005, “What Price Catastrophe Risk?”, Business Week (October 3).Bacon, C. R., 2008, Practical Portfolio Performance Measurement and Attribution (2nd Ed.), (NewYork: John Wiley & Sons). 453
  3. 3. INVESTING IN INSURANCE RISK Baker, R., 1998, “Genetic Algorithms in Search and Optimization”, Financial Engineering News Magazine, 2–3, pp. 1–13. Bakos, T. and K. Parankirinathan, 2006, “The Life Settlement Market is an Opportunity”, The Journal of Structured Finance, 12(2), pp. 46–49. Bantwal, V. J. and H. C. Kunreuther, 2000, “A Cat Bond Premium Puzzle?”, Journal of Psychology and Financial Markets, 1, pp. 76–91. Barbe, P., A.-L. Fougeres and C. Genest, 2006, “On the Tail Behavior of Sums of Dependent Risks”, ASTIN Bulletin, 36(2), pp. 361–373. Barnett, J., R. E. Kreps, J. A. Major and G. G. Venter, 2007, “Multivariate Copulas for Financial Modeling”, Variance, 1(1), pp. 103–119. Barrieu, P. and H. Louberge, 2009, “Hybrid Cat Bonds,” The Journal of Risk and Insurance, 76(3), pp. 547–578. Barrieu, P. and L. Albertini (Eds), 2009, The Handbook of Insurance-Linked Securities, (New York: John Wiley & Sons). Beilis, A., 2000, “Weather Optionality”, Financial Engineering News Magazine, 17. Bernstein, P. L., 1998, Against the Gods: The Remarkable Story of Risk, (New York: John Wiley & Sons). Bernstein, P. L., 2009, “Risk Inverse”, The Journal of Portfolio Management, 35(3), pp. 1–1. AM Best Company, 2005, “Life Settlement Securitization”, (September 1). AM Best Company, 2006, “Assessing the ‘Tail Risk’ of Sidecars”, (October 9). AM Best Company, 2007, “Securitization of Reinsurance Recoverables”, (August 20). AM Best Company, 2008, “Rating Natural Catastrophe Bonds”, (January 22). AM Best Company, 2008, “Securitization of Annuities”, (May 22). AM Best Company, 2009, “Life Settlement Securitization”, (November 24). Bhuyan, V. B., Ed., 2009, Life Markets, (Hoboken, NJ: John Wiley & Sons). Biffis, E. and D. Blake, 2008, “Securitizing and Tranching Longevity Exposures”, Pensions Institute Discussion Paper PI-0824. Blake, D. and W. Burrows, 2001, “Survivor Bonds: Helping to Hedge Mortality Risk”, The Journal of Risk and Insurance, 68, pp. 339–348. Blake, D., 2006, Pension Finance, (New York: John Wiley & Sons). Blake, D., A. J. G. Cairns, K. Dowd and R. MacMinn, 2006, “Longevity Bonds: Financial Engineering, Valuation and Hedging”, The Journal of Risk and Insurance, 73, pp. 647–72. Blake, D., A. J. G. Cairns and K. Dowd, 2006, “Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities”, British Actuarial Journal, 12, pp. 153–97. Blake, D., A. J. G. Cairns and K. Dowd, 2008, “Longevity Risk and the Grim Reaper’s Toxic Tail: The Survivor Fan Charts”, Insurance: Mathematics & Economics, 42, pp. 1062–66. Blake, D. and D. Harrison, 2008, “Life Settlements Trade Raises Complex Issues”, Financial Times (June 6). Blake, D., T. Boardman, A. Cairns and K. Dowd, 2009, “Everyone Wins if UK Issues Longevity Bond”, Financial Times (June 28). Bodoff, N. M. and Y. Gan, 2009, “An Analysis of the Market Price of Cat Bonds”, Casualty Actuarial Society Forum, Spring, pp. 1–26.454
  4. 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. 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. 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
  7. 7. INVESTING IN INSURANCE RISK Deutsche Börse, 2008, “Deutsche Börse Launches Business with Longevity Data”, Press Release (March 11). Deutsche Börse, 2008, “Deutsche Börse Launches Longevity Indices”, Press Release (December 1). Dhillon, H., 2009, “Winds of Change for Cat Bond Market”, Credit (June). Doherty, N., 1997, “Financial Innovations in the Management of Catastrophic Risk”, Journal of Applied Corporate Finance, 10, pp. 84–95. Doherty, N. A. and H. J. Singer, 2002, “The Benefits of a Secondary Market for Life Insurance Policies”, The Wharton Financial Institutions Center. Dorr, D. C., 2007, “Longevity Trading: Bridging the Gap between the Insurance Markets and the Capital Markets”, Journal of Structured Finance, 13(2), pp. 50–53. Dowd, K., 2005, “Coherent Risk Measures”, Financial Engineering News Magazine, 41, pp. 9–10. Dowd, K., 2005, “Distortion Risk Measures”, Financial Engineering News Magazine, 44, pp. 7–14. Dowd, K., A. J. G. Cairns and D. Blake, 2006, “Mortality-Dependent Financial Risk Measures”, Insurance: Mathematics and Economics, 38, pp. 427–40. Dowd, K., D. Blake, A. J. G. Cairns and P. Dawson, 2006, “Survivor Swaps”, The Journal of Risk and Insurance, 73(1), pp. 1–17. Dowd, K., 2006, “The Invisible Problem of Risk Blindness”, Financial Engineering News Magazine, 52, pp. 5–10. Dowd, K., D. Blake and A. J. G. Cairns, 2006, “The Grave Problem of Longevity Risk”, Financial Engineering News Magazine, 49, pp. 19, 30. Dowd, K., A. J. G. Cairns, D. Blake, G. D. Coughlan, D. Epstein and M. Khalaf-Allah, 2008, “Evaluating the Goodness of Fit of Stochastic Mortality Models”, Pensions Institute Discussion Paper PI-0802. Durbin, D., 2001, “Managing Natural Catastrophe Risks: The Structure and Dynamics of Reinsurance”, The Geneva Papers on Risk and Insurance, 26, pp. 297–309. Eling, M. and D. Toplek, 2009, “Modeling and Management of Nonlinear Dependencies – Copulas in Dynamic Financial Analysis”, The Journal of Risk and Insurance, 76(3), pp. 651–681. Embrechts, P., C. Klüppelberg and T. Mikosch, 2004, Modelling Extremal Events: For Insurance and Finance, (Berlin: Springer). Embrechts, P., J. Neslehova and M. V. Wüthrich, 2009, “Additivity Properties for Value-at-Risk under Archimedean Dependence and Heavy-Tailedness”, Insurance: Mathematics and Economics, 44(2), pp. 164–169. EQECAT, 2008, “eCAT: A New Tool for Managing Securitized Natural Catastrophe Risk”, ABS Group. EQECAT, 2009, “Using Recent Hurricane Data to Evaluate Prospective Risk Models”, ABS Group. EQECAT, 2009, EQECAT Florida Hurricane Model 2009, Submitted to the Florida Commission on Hurricane Loss Projection Methodology (Revised May 18). Eskandari, H. and C. D. Geiger, 2008, “A Fast Pareto Genetic Algorithm Approach for Solving Expensive Multiobjective Optimization Problems”, Journal of Heuristics, 14(3), pp. 203–241. Estrada, J., 2006, “Downside Risk in Practice“, Journal of Applied Corporate Finance, 18(1), pp. 117–125. Evans, C., 2009, “Norwich Union Completes 475 Million Pounds Longevity Swap”, Thompson Reuters (March 24).458
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