Slideshare uses cookies to improve functionality and performance, and to provide you with relevant advertising. If you continue browsing the site, you agree to the use of cookies on this website. See our User Agreement and Privacy Policy.

Slideshare uses cookies to improve functionality and performance, and to provide you with relevant advertising. If you continue browsing the site, you agree to the use of cookies on this website. See our Privacy Policy and User Agreement for details.

Successfully reported this slideshow.

Like this document? Why not share!

- 7th Insurance Linked Securities Summit by Abby Lombardi 1668 views
- How to Invest in Insurance Linked S... by marcus evans Summits 194 views
- Role of Actuaries in ERM_17th GCA_S... by Sonjai Kumar, SIRM 487 views
- International financial management ... by Babasab Patil 3384 views
- Financial Reporting Disclosures: An... by Sazzad Hossain, I... 5112 views
- Internship Report on Financial Anal... by Manas Saha 5857 views

1,552 views

Published on

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

License: CC Attribution License

No Downloads

Total views

1,552

On SlideShare

0

From Embeds

0

Number of Embeds

1

Shares

0

Downloads

13

Comments

0

Likes

1

No embeds

No notes for slide

- 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. 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. 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”, www.ambest.com (September 1). AM Best Company, 2006, “Assessing the ‘Tail Risk’ of Sidecars”, www.ambest.com (October 9). AM Best Company, 2007, “Securitization of Reinsurance Recoverables”, www.ambest.com (August 20). AM Best Company, 2008, “Rating Natural Catastrophe Bonds”, www.ambest.com (January 22). AM Best Company, 2008, “Securitization of Annuities”, www.ambest.com (May 22). AM Best Company, 2009, “Life Settlement Securitization”, www.ambest.com (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. 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
- 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
- 8. REFERENCESEvans, C., 2009, “Catastrophe Derivatives Demand Surges as Storm Season Nears”, InsuranceJournal, (May 19).Felsted, A., 2008, “RMS Launches European Wind Storm Risk Index”, Financial Times (February15).Finkelstein, M., H. G. Tucker, and J. A. Veeh, 2006, “Pareto Tail Index Estimation Revisited”,North American Actuarial Journal, 10(1), pp. 1–10.Fitch, 2008, “Insurance-Linked Securities Ratings Criteria”, Fitch Ratings (February 4).Fitch, 2008, “Catastrophe Bonds: Ratings Criteria”, Fitch Ratings (March 11).Fitch, 2008, “Life Insurance Reserve Finance: Ratings Criteria”, Fitch Ratings (July 8).Fitch, 2008, “Zest: AEGON’s Scottish Equitable Value of In-Force Securitisation”, Fitch Ratings(July 22).Freeman, M. B., 2007, “Lurking Pitfalls”, The Journal of Structured Finance, 13(2), pp. 83–86.Froot, K. A. and M. S. Seasholes, 1997, “USAA: Catastrophe Risk Financing”, Harvard BusinessSchool.Froot, K. A., Ed., 1999, The Financing of Catastrophe Risk, (The University of Chicago Press).Froot, K. A., 2001, “The Market for Catastrophe Risk: A Clinical Examination”, Journal ofFinancial Economics, 60, pp. 529–571.Froot, K. A., 2007, “Risk Management, Capital Budgeting, and Capital Structure Policy ofInsurers and Reinsurers”, The Journal of Risk and Insurance, 74, pp. 273–299.Froot, K. A. and P. O’Connel, 2008, “On the Pricing of Intermediated Risks: Theory andApplication to Catastrophe Reinsurance”, Journal of Banking and Finance, 32, pp. 69–85.Fulla, S. and J.-P. Laurent, 2008, “Mortality Fluctuations Modelling with a Shared FrailtyApproach”, Life and Pension Risk (October).Gehin, W. M. and M. Vaissie, 2006, “The Right Place for Alternative Betas in Hedge FundPerformance: An Answer to the Capacity Effect Fantasy”, The Journal of Alternative Investments,9, pp. 9–18.Geman, H., Ed., 1999, Insurance and Weather Derivatives: From Exotic Options to ExoticUnderlyings, (London: Risk Books).General Accounting Office, 2002, “Catastrophe Insurance Risks: The Role of Risk-LinkedSecurities and Factors Affecting Their Use” (GAO-02–941), Report to the Chairman, Committeeon Financial Services, US House of Representatives, Washington, DC.Gilli, M., E. Kellezi and H. Hysi, 2006, “A Data-Driven Optimization Heuristic for DownsideRisk Minimization”, The Journal of Risk, 8(3), pp. 1–18.Glassermann, P., 2004, Monte Carlo Methods in Financial Engineering, (New York: Springer).Golden, L., M. Wang and C. Yang, 2007, “Handling Weather Related Risks Through FinancialMarkets: Considerations of Credit Risk, Basis Risk, and Hedging”, The Journal of Risk andInsurance, 74(2), pp. 319–46.Goldstein, M., 2007, “Profiting from Mortality”, Business Week (October 30).Goldstein, M., 2008, “Why Death Bonds Look So Frail”, Business Week (February 25).Gore, G., 2006, “Credit Suisse Launched Longevity Index”, Risk, 19(1).Gorvett, R. W., 1999, “Insurance Securitization: The Development of a New Asset Class”,Securitization of Risk –Discussion Paper Program, Casualty Actuarial Society, pp. 133–173.Government Accountability Office, 2005, “Catastrophe Risk: U.S. and European Approachesto Insure Natural Catastrophe and Terrorism Risks” (GAO-05–1999), Report to the Chairman,Committee on Financial Services, US House of Representatives, Washington, DC. 459
- 9. INVESTING IN INSURANCE RISK Group of Thirty, 2006, Reinsurance and International Financial Markets, Washington, DC. Grossi, P. and H. Kunreuther, 2004, Catastrophe Modeling: A New Approach to Managing Risk, (New York: Springer). Gurenko, E. N. (Ed.), 2004, Catastrophe Risk and Reinsurance, (London: Risk Books). Guy Carpenter, 2008, “2008 Reinsurance Market Review”, New York. Guy Carpenter, 2008, “The Catastrophe Bond Market at Year-End 2007”, New York. Hardy, M. R. and J. L. Wirch, 2004, “The Iterated CTE – A Dynamic Risk Measure”, North American Actuarial Journal, 8(4), pp. 62–75. Hardy, M. R., 2005, “A Matter of Life and Death”, Financial Engineering News Magazine, 46, pp. 17–20. Harrison, J., 2007, “Securitisation of Insurance Risks”, Financial Instruments Tax and Accounting Review, September, pp. 4–8. Hill, A., 2009, “Longevity Risk Pioneers Must Learn from Crisis”, Financial Times (May 12). Hill, J. M., 2006, “Alpha as a Net Zero-Sum Game”, Journal of Portfolio Management, 32, pp. 24–32. Horsewood, R., 2003, “A Farewell to Arms: What the DARPA Funded Market in Geopolitical Risk Futures Would Have Looked Like”, Financial Engineering News Magazine, 34 (November/December). Hull, J., M. Predescu and A. White, 2005, “Bond Prices, Default Probabilities and Risk Premiums”, The Journal of Credit Risk, 1(2), pp. 53–60. Hull, J. C., 2006, Options, Futures, and Other Derivatives (6th Ed.), (Upper Saddle River, NJ: Prentice Hall). IAIS, 2009, “Developments in (Re)Insurance Securitisation, Global Reinsurance Market Report”, International Association of Insurance Supervisors, Basel (August 26). International Financing Review, 2006. “Mortality Bond Issue Upsized”, 40 (November 4). International Monetary Fund, 2006, The Limits of Market-based Risk Transfer and Implications for Managing Systemic Risks, Washington, DC. Johnson, K., 2008, “Stormy Weather: Is Global Warming to Blame?”, The Wall Street Journal (August 4). Johnson, S., 2007, “FSA Warns over Longevity Figures”, Financial Times (May 14). Jones, S., 2009, “The Formula that Felled Wall Street”, Financial Times (April 24). Jorion, P., 2007, Value at Risk: The New Benchmark for Managing Financial Risk (3rd Ed.), (New York: McGraw-Hill). Jung, J., 2008, “Living with Volatility”, Risk Magazine (March) Juri, A. and M. V. Wutrich, 2003, “Tail Dependence from a Distributional Point of View”, Extremes, 6(3), pp. 213–246. Kahneman, D. and D. Lovello, 1993, “Timid Choices and Bold Forecasts: A Cognitive Perspective on Risk Taking”, Management Science, 39, pp. 17–31. Keenlyside, N., M. Latif, J. Junclaus, L. Kornblueh and E. Roeckner, 2008, “Advancing Decadal Climate Scale Prediction in the North Atlantic”, Nature, 453, pp. 84–88. Klein, R. W. and S. Wang, 2009, “Catastrophe Risk Financing in the United States and the European Union: A Comparative Analysis of Alternative Regulatory Approaches”, The Journal of Risk and Insurance, 76(3), pp. 607–637.460
- 10. REFERENCESKlotzbach, P. J. and W. M. Gray, 2009, “Twenty-Five Years of Atlantic Basin SeasonalHurricane Forecasts”, Geophysical Research Letters, 36(9), L09711.Kothari, V., 2006, Securitization: The Financial Instrument of the Future, (Singapore: John Wiley &Sons).Krokhmal, P., J. Palmquist and S. Uryasev, 2002, “Portfolio Optimization with ConditionalValue-at-Risk Objective and Constraints”, The Journal of Risk, 4(2), pp. 11–27.Krutov, A., 2006, “Insurance-Linked Securities: An Emerging Class of Financial Instruments”,Financial Engineering News Magazine, 48, pp. 7–16.Krutov, A., 2006, “Insurance Derivatives: A Hidden Market”, Financial Engineering NewsMagazine, 51, pp. 8–12.Kunreuther, H., 2002, “The Role of Insurance in Managing Extreme Events: Implications forTerrorism Coverage”, Business Economics (April).Lane, M., “Pricing Risk Transfer Transactions”, ASTIN Bulletin 30:2, 2000, pp. 259–293.Lane, M. (Ed.), 2002, Alternative Risk Strategies, (London: Risk Books).Lane, M. and R. Beckwith, 2007, “Developing LFC Return Indices for InsuranceSecuritizations”, Lane Financial.Lane, M., 2007, “Of Sidecars and Such”, Lane Financial.Lane, M. and O. Mahul, 2008, “Catastrophe Risk Pricing: An Empirical Analysis”, PolicyResearch Working Paper Series, The World Bank (November 1).Lane, M., 2009, “Genuine Alpha, Perfect Security – Reaffirming ILS Rationales”, Lane Financial.LaRow, T. E., Y.-K. Lim, D. W. Shin, E. P. Chassignet and S. Cocke, 2008, “Atlantic BasinSeasonal Hurricane Simulations”, Journal of Climate, 21, pp. 3191–3206.Laster, D. and M. Raturi, 2001, “Capital Market Innovation in the Insurance Industry”, sigmano. 3/2001, Swiss Re, Zurich.Lee, B., 2000, “A Consistent Approach to Measuring Hedge Effectiveness”, Financial EngineeringNews Magazine, 14 (February), pp. 5–13.Lee, J. P. and M. T. Yu, 2002, “Pricing Default-Risky Cat Bonds with Moral Hazard and BasisRisk”, The Journal of Risk and Insurance, 69, pp. 25–44.Lee, R. D. and L. Carter, 1992, “Modelling and Forecasting the Time Series of U.S. Mortality”,Journal of the American Statistical Association, 87, pp. 659–71.Lee, R. D., 2000, “The Lee-Carter Method of Forecasting Mortality, with Various Extensions andApplications”, North American Actuarial Journal, 4, pp. 80–93.Leibowitz, M. L., 2005, “Alpha Hunters and Beta Grazers,” Financial Analysts Journal, 61, pp.32–39.Lewis, M., 2007, “In Nature’s Casino”, New York Times Magazine (August 26).Li, J. and S. Taiwo, 2006, “Enhancing Financial Decision Making Using Multi-ObjectiveFinancial Genetic Programming”, Proceedings of IEEE Congress on Evolutionary Computation, pp.2171- 2178 (July 16–21).Li, N., R. Lee and S. Tuljapurkar, 2004, “Using the Lee-Carter Method to Forecast Mortality forPopulations with Limited Data”, International Statistical Review, 72, pp. 19–36.Lin, D. and S. Wang, 2002, “A Genetic Algorithm for Portfolio Selection Problems”, AdvancedModeling and Optimization, 4(1), pp. 13–27.Lin, X. S. and X. Liu, 2007, “Markov Ageing Process and Phase-Type Law of Mortality”, NorthAmerican Actuarial Journal, 11(4), pp. 92–109. 461
- 11. INVESTING IN INSURANCE RISK Lin, Y. and S. H. Cox, 2005, “Securitization of Mortality Risks in Life Annuities”, The Journal of Risk and Insurance, 72, pp. 227–252. Liu, J., 2007, “Portfolio Selection in Stochastic Environment”, The Review of Financial Studies, 20(1), pp.1–39. Litterman, R., 2005, “Active Alpha Investing”, Goldman Sachs Asset Management, New York. Loeys, J., N. Panigirtzoglou and R. Ribeiro, 2007, “Longevity: A Market in the Making”, Global Market Strategy, JP Morgan. Los, C. A., 2005, “When to Put All Your Eggs in One Basket? When Diversification Increases Portfolio Risk!”, Financial Engineering News Magazine, 41 (January-February), pp. 4–9. Louberge, H., E. Kellezi and M. Gilli, 1999, “Using Catastrophe-Linked Securities to Diversify Insurance Risk: A Financial Analysis of Cat Bonds”, Journal of Insurance Issues, 22, pp. 125–146. Lyon, P., 2003, “Securitising Terror”, Risk Magazine (March). Lucida, 2008, “Lucida and JPMorgan First to Trade Longevity Derivative”, Press Release (15 February). Maginn, J. L. et al (Eds.), 2007, Managing Investment Portfolios: A Dynamic Process (3rd Ed.), CFA Institute, (Hoboken, NJ: John Wiley & Sons). Markowitz, H., 1952, “Portfolio Selection”, Journal of Finance, 7(1), pp. 77–91. Matthys, G., E. Delafosse, A. Guillou and J. Beirlant, 2004, “Estimating Catastrophic Quantile Levels for Heavy-Tailed Distributions”, Insurance: Mathematics and Economics, 34, pp. 517–537. McNeil, A., R. Frey, and P. Embrechts, 2005, Quantitative Risk Management: Concepts, Techniques, and Tools. (Princeton University Press). McRaith, M. T., 2009, “Life Settlements and the Need for Increasing Transparency”, Testimony Before the United States Senate Special Committee on Aging (April 29). Meyers, G. G., 2007, “The Common Shock Model for Correlated Insurance Losses”, Variance, 1(1), pp. 40–52. Mijuk, G., 2008, “Port in the Storm: Insurers’ Catastrophe Bonds”, The Wall Street Journal (October 14). Milevsky, M. A. and S. D. Promislow, 2001, “Mortality Derivatives and the Option to Annuitize”, Insurance Mathematics and Economics, 29(3), pp. 299–318. Modu E., 2004, “Life Settlement Securitization”, A.M. Best Report (October 18). Modu, E., 2006, “Gauging the Basis Risk of Catastrophe Bonds”, A.M. Best Report (September 25). Moody’s, 2007, “Reinsurance Sidecars: Moody’s Five Principles”, Moody’s (March 28). JP Morgan Chase and Co., 2007, “JP Morgan Launches Longevity Index: Investment bank Creates Life-Metrics Platform”, Press Release (March 13). Mott, A. R., 2007, “New Swaps to Hedge Alpha and Beta Longevity Risks of Life Settlement Pools”, Journal of Structured Finance, Summer, pp. 54–61. Muermann, A., 2001, “Pricing Catastrophe Insurance Derivatives”, Working Paper, London School of Economics. Muermann, A., 2003, “Actuarially Consistent Valuation of Catastrophe Derivatives”, The Wharton Financial Institution Center Working Paper Series, 03–18, University of Pennsylvania. Mutenga, S. and S. Staikouras, 2007, “The Theory of Catastrophe Risk Financing: A Look at the Instruments that Might Transform the Insurance Industry”, The Geneva Papers on Risk and Insurance, 32, pp. 222–45.462
- 12. REFERENCESMuir-Wood, R., 2006, “RMS Advances the Science of Catastrophe Risk Models”, Bermuda Re,pp. 1–4 (February).Nakada, P., 2009, “Insurance-Linked Securities: Last Asset Class Standing”, Insurance, Finance &Investment, XIV(6).Natarajan, K., D. Pachamanova and M. Sim, 2008, “Incorporating Asymmetric DistributionalInformation in Robust Value-at-Risk Optimization”, Management Science, 54(3), pp. 573–585.Nell, M. and A. Richter, 2004, “Improving Risk Allocation through Indexed Cat Bonds”, TheGeneva Papers on Risk and Insurance, 29 (2), pp. 183–201.Niehaus, G., 2002, “The Allocation of Catastrophe Risk”, Journal of Banking and Finance, 26, pp.585–596.Nott, J., J. Haig, H. Neil, and D. Gillieson, 2007, “Greater Frequency Variability of LandfallingTropical Cyclones at Centennial Compared to Seasonal and Decadal Scales”, Earth and PlanetaryScience Letters, 255(3–4), pp. 367–372.Palmer, T. N., F. J. Doblas-Reyes, A. Weisheimer and M. J. Rodwell, 2008, “Toward SeamlessPrediction Calibration of Climate Change Projections Using Seasonal Forecasts”, Bulletin of theAmerican Meteorological Society, 89, pp. 459–470.Papachristou, D., 2009, “Statistical Analysis of Spreads at the Time of Issue”, ASTINColloquium, Helsinki (June).Patel, N., 2007, “For Whom Cat Risk Tolls”, Risk Magazine (November).Pelsser, A., 2008, “On the Applicability of the Wang Transform for Pricing Financial Risks”,ASTIN Bulletin, 38(1), pp. 171–181.Pengelly, M., 2008, “Second Life”, Risk Magazine (March).Perera, N. and L. Pearson, 2007, “An Exploration of Mortality Risk Mitigation”, The Journal ofStructured Finance, 13(2), pp. 44–49.Perez-Fructuoso, M. J., 2008, “Modeling Loss Index Triggers for Cat Bonds: A ContinuousApproach”, Variance 2(2), pp. 253–265.Plantin, G., 2006, “Does Reinsurance Need Reinsurers?”, The Journal of Risk and Insurance, 73(1),pp. 153–168.Poncet, P. and V. Vaugirard, 2002, “The Pricing of Insurance-Linked Securities under InterestRate Uncertainty”, The Journal of Risk Finance, 3(3), pp. 48–59.Potter, N. F. and M. McDonnell, 2008, “Life Insurance Securitizations: Legal Structures forStatutory Reserve Financings and Embedded Value Monetizations”, The Journal of StructuredFinance, 4(3), pp. 75–79.Price, K., Storn, R. and J. Lampinen, 2005, Differential Evolution: A Practical Approach to GlobalOptimization, (Berlin: Springer).Pugh, H., 2005, “Pandemic: The Cost of Avian Influenza”, Contingencies, September-October,pp. 22–27.Reactions, 2004, “Make Money Rain or Shine” (Case Study: Coriolis Capital), Reactions,November, pp. 48–50.Reinstein, A. and C. Miller, 2007, “Accounting for the Purchase of Life Settlement Contracts”,The CPA Journal, 77(9), pp. 28–34.Renshaw, A. E. and S. Haberman, 2003, “Lee-Carter Mortality Forecasting with Age-SpecificEnhancement”, Insurance: Mathematics and Economics, 33, pp. 255–272.Renshaw, A. E. and S. Haberman, 2006, “A Cohort-Based Extension to the Lee-Carter Modelfor Mortality Reduction Factors”, Insurance: Mathematics and Economics, 38, pp. 556–570. 463
- 13. INVESTING IN INSURANCE RISK Richard, C., 2004, “With $70M Bond Deal, Wall Street Manages to Securitize Death”, The Wall Street Journal (April 30). Rind, K. and P. Siegert, 2008, Taxation of Life Insurance Policies in an Evolving Secondary Marketplace, (Keystone, CO: Insurance Studies Institute). RMS, 2005, “Hurricane Katrina: Profile of a Super Cat”, Risk Management Solutions, Inc. RMS, 2007, “RMS Pandemic Influenza Model Overview”, Risk Management Solutions, Inc. RMS, 2009, “Miu Platform”, Risk Management Solutions, Inc. RMS, 2009, “Paradex”, Risk Management Solutions, Inc. RMS, 2009, “RMS US Hurricane Model”, Submitted to the Florida Commission on Hurricane Loss Projection Methodology (Revised May 22). Rockafellar, R. T. and S. P. Uryasev, 2000, “Optimization of Conditional Value-at-Risk”, The Journal of Risk, 2(3), pp. 21–42. Rockafellar, R. T. and S. P. Uryasev, 2002, “Conditional Value-at-Risk for General Loss Distribution”, Journal of Banking and Finance, 26, pp. 1443–1471. Ross, S., 2004, “Compensation, Incentives, and the Duality of Risk Aversion and Riskiness”, Journal of Finance, 59, pp. 207–25. Rundle, J. B., P. B. Rundle, A. Donnellan, D. L. Turcotte et al, 2005, “A Simulation-Based Approach to Forecasting the Next Great San Francisco Earthquake”, Proceedings of the National Academy of Sciences, 102(43), pp. 15363–15367. Sakoui, S., 2008, “Cat Bond Revamp for Blue Coast”, Financial Times (July 29). Schwartz, J. M. and T. O. Wood, 2008, “Life Settlements: Pricing Challenges and Opportunities”, The Journal of Structured Finance, 14(2), pp. 70–76. Scott, J. S., J. G. Watson and W.-Y. Hu, 2007, “Efficient Annuitization: Optimal Strategies for Hedging Mortality Risk”, Pension Research Council Working Paper No. PRC 2007–09. Seitel, C. L., 2006, “Inside the Life Settlement Industry: An Institutional Investor’s Perspective”, The Journal of Structured Finance, 12(2), pp. 38–40. Seitel, C. L., 2009, “A Provider’s Reflection from Inside the Life Settlement Industry: Understanding the Chaotic Environment”, The Journal of Structured Finance, 15(2), pp. 70–73. Sharpe, W. F., 1964, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk”, Journal of Finance, 19(3), pp. 425–442. Sharpe, W. F., 1999, Portfolio Theory and Capital Markets, (New York: McGraw-Hill). Skypala, P., 2008, “Pensions Put Longevity Near Top of Hazards List”, Financial Times (November 16). Standard & Poor’s, 2005, “New Issue: Box Hill Life Finance PLC”, Standard & Poor’s (January 31). Standard & Poor’s, 2006, “Ratings Raised On Vita Capital II’s Catastrophe-Indexed Notes”, Standard & Poor’s (May 12). Standard & Poor’s, 2007, “Framework for Rating Natural Peril Catastrophe Bonds”, Standard & Poor’s (July 5). Standard & Poor’s, 2008, “Default Table Used to Rate Insurance-Linked Securitizations, Updated”, Standard & Poor’s (May 8). Standard & Poor’s, 2008, “Methodology and Assumptions for Rating Natural Catastrophe Bonds”, Standard & Poor’s (May 12).464
- 14. REFERENCESStandard & Poor’s, 2008, “Criteria Revised For Single-Event Natural Peril Catastrophe BondsAnd Sidecar Transactions”, Standard & Poor’s (May 14).Standard & Poor’s, 2008, “Guide to Rating Process for Insurance-Linked Securities”, Standard& Poor’s (September 5).Standard & Poor’s, 2008, “Methodology and Assumptions Used for Rating Natural CatastropheInsurance-Linked Securities”, Standard & Poor’s (September 11).Standard & Poor’s, 2008, “Guide To Rating Insurance-Linked Mortality Catastrophe Bonds”,Standard & Poor’s (September 11).Standard & Poor’s, 2008, “Insurance-Linked Securities – Capital Treatment and Basis RiskAnalysis”, Standard & Poor’s (September 12).Standard & Poor’s, 2008, “Approach to Rating Indemnified Natural Catastrophe Insurance-Linked Securities”, Standard & Poor’s (September 15).Standard & Poor’s, 2008, “Clarifying The Framework For Rating Natural Catastrophe Bonds”,Standard & Poor’s (November 26).Stone, C. and A. Zissu, 2006, “Securitization of Senior Life Settlements: Managing ExtensionRisk”, The Journal of Derivatives, 13(3), pp. 66–80.Stone, C. and A. Zissu, 2007, “The Return on a Pool of Senior Life Settlements”, Journal ofStructured Finance, 13(2), pp. 62–70.Stone, C. A., 2009, “The Supply and Demand for Life Settlement Contracts”, The Journal ofStructured Finance, Summer, 15(2), pp. 101–111.Stummer, C. and M. Sun, 2005, “New Multiobjective Metaheuristic Solution Procedures forCapital Investment Planning”, Journal of Heuristics, 11, pp. 183–199.Sullivan, R., 2009, “UK’s First Longevity Swap Draws a Crowd”, Financial Times (May 24).Swiss Re, 2006, “Securitization: New opportunities for Insurers and Investors”, sigma, 7/2006,Swiss Re.Swiss Re, 2007, “Natural Catastrophes and Man-Made Disasters in 2006: Low Insured Losses”,sigma, 2/2007, Swiss Re.Swiss Re, 2009, “Scenario Analysis in Insurance”, sigma, 1/2009, Swiss Re.Swiss Re, 2009, “The Role of Indices in Transferring Insurance Risks to the Capital Markets”,sigma, 4/2009, Swiss Re.Taleb, N. N., 2007, The Black Swan: The Impact of the Highly Improbable, (New York: RandomHouse).Taleb, N. N., 2008, Fooled by Randomness: The Hidden Role of Chance in the Markets and in Life,(New York: Random House).Treaster, J., 2002, “Rethinking Dire Warnings by Insurers After September 11”, New York Times(February 27).Uryasev, S., 2000, “Conditional Value-at-Risk: Optimization Algorithms and Applications”,Financial Engineering News Magazine, 14 (February), pp. 1–7.Vadiveloo, J, 2005, The Life Settlements Market: An Actuarial Perspective on Consumer EconomicValue, (Hartford, CT: Deloitte Consulting LLP and University of Connecticut).Valdez, E., L. Wang and J. Piggott, 2008, “Securitisation of Longevity Risk in ReverseMortgages”, North American Actuarial Journal, 12(4), pp. 345–371.Vaugirard, V. E., 2003, “Pricing Catastrophe Bonds by an Arbitrage Approach”, The QuarterlyReview of Economics and Finance, 43(1), pp. 119–132. 465
- 15. INVESTING IN INSURANCE RISK Venter, G., 2003, “Quantifying Correlated Reinsurance Exposures with Copulas”, Casualty Actuarial Society Forum, Spring, pp. 215–229. Verbout, S. M., Schultz, D. M., Leslie, L. M., Brooks, H. E., Karoly, D. J. and K. L. Elmore, 2007, “Tornado Outbreaks Associated with Landfalling Hurricanes in the North Atlantic Basin: 1954–2004”, Journal of Meteorology and Atmospheric Physics, 97(1–4), pp. 255–271. Wang, C., and S. K. Lee, 2008, “Global Warming and United States Landfalling Hurricanes”, Geophysical Research Letters, 35(1), L02708. Wang, C. P., D. Shyu, Y. C. Liao, M.-C. Chen and M. L. Chen, 2003, “A Model of Optimal Dynamic Asset Allocation in a Value-at-Risk Framework”, International Journal of Risk Assessment and Management, 4(4), pp. 301–309. Wang, S., 1996, “Premium Calculation by Transforming the Layer Premium Density”, ASTIN Bulletin, 26(1), pp. 71–92. Wang, S., 1998, “Aggregation of Correlated Risk Portfolios: Models and Algorithms”, Proceedings of the Casualty Actuarial Society, LXXXV, pp. 848–939. Wang, S., 2000, “A Class of Distortion Operations for Pricing Financial and Insurance Risks”, The Journal of Risk and Insurance, 67, pp. 15–36. Wang, S., 2002, “A Universal Framework for Pricing Financial and Insurance Risks”, ASTIN Bulletin, 32, pp. 213–234. Wang, S., 2004, “Cat Bond Pricing Using Probability Transforms”, The Geneva Papers on Risk and Insurance, Special Issue on “Insurance and the State of the Art in Cat Bond Pricing”, 278, pp. 19–29. Wang, S.-M., J.-C. Chen, H.-M. Wee and K.-J. Wang, 2006, “Non-linear Stochastic Optimization Using Genetic Algorithm for Portfolio Selection”, International Journal of Operations Research, 3(1), pp. 16–22. Washington, S., 2007, “The Concept of a Model Act: The NAIC’s Amended Viatical Settlements Model Act”, Journal of Structured Finance, 13(2), pp. 89–92. Wighton, D., 2006, “The Holy Grail of the Asset Classes”, Financial Times (November 29). World Economic Forum, 2008, Convergence of Insurance and Capital Markets, World Economic Forum. World Economic Forum, 2008, Global Risks 2008: A Global Risk Network Report, World Economic Forum. Woo, G., 1999, The Mathematics of Natural Catastrophes, (London: Imperial College Press). Worthington, A. and A. Valadkhani, 2004, “Measuring the Impact of Natural Disasters on Capital Markets: An Empirical Application Using Intervention Analysis”, Applied Economics, 36(19), pp. 2177–86. Yago, G. and P. Reiter, 2008, “Financial Innovations for Catastrophe Risk: Cat Bonds and Beyond”, Milken Institute Financial Innovations Lab Report, 5 (April), Santa Monica, CA. Yang, X., 2006, “Improving Portfolio Efficiency: A Genetic Algorithm Approach”, Computational Economics, 28, pp. 1–14. Zaffino, P., 2009, “Catastrophe Bonds - Safe From The Storm”, Guy Carpenter (March 24). Zeller, W., 2008, “Securitization and Insurance – Characteristics of Hannover Re’s Approach”, The Geneva Papers on Risk and Insurance, 33(1), pp. 7–11. Zeng, L., 2000, “Pricing Weather Derivatives”, The Journal of Risk Finance, 1(3), pp. 72–78. Zeng, L., 2000, “On the Basis Risk of Industry Loss Warranties”, The Journal of Risk Finance, 1(4), pp. 27–32.466
- 16. REFERENCESZiser, B., 2005, “Life Settlements: An Option for Seniors, an Opportunity for Investors”, TheJournal of Structured Finance, 11(2), pp. 12–14.Zolkos, R., 2006, “Mad Scramble for Capital Fuels Cat Bond Market”, Business Insurance (June16). 467

No public clipboards found for this slide

Be the first to comment