The Handbook of Insurance-Linked Securities
Ed.: Barrieu, Pauline, Albertini, Luca
The Handbook of Insurance-Linked Securities
Ed.: Barrieu, Pauline, Albertini, Luca
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This book provides a much needed reference for finance practitioners on the rapidly growing Insurance Linked Securities markets. It will provide readers with the state of the art in Insurance-Linked Securitization, introducing the different parties involved in the transactions and their roles, the motivation for the transaction sponsors, the potential inherent pitfalls, the latest developments and transaction structures but also the key challenges faced by the market at each stage. The book will also focus on more general issues faced by the industry, including accounting and tax issues,…mehr
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This book provides a much needed reference for finance practitioners on the rapidly growing Insurance Linked Securities markets. It will provide readers with the state of the art in Insurance-Linked Securitization, introducing the different parties involved in the transactions and their roles, the motivation for the transaction sponsors, the potential inherent pitfalls, the latest developments and transaction structures but also the key challenges faced by the market at each stage. The book will also focus on more general issues faced by the industry, including accounting and tax issues, regulatory issues and solvency capital requirements - all tackled from international perspectives.
The book will be organized into two parts making a distinction between non-life and life securitization in order to accommodate the specificities of each sector. Each chapter covers a specific topic or sector of the market. After a general overview over the ILS market, the Insurance-Linked Securitization process is studied in detail.
Contributions will be from leading practitioners in the field, and will feature case studies and worked examples to illustrate more complicated transactions and techniques.
The book will be organized into two parts making a distinction between non-life and life securitization in order to accommodate the specificities of each sector. Each chapter covers a specific topic or sector of the market. After a general overview over the ILS market, the Insurance-Linked Securitization process is studied in detail.
Contributions will be from leading practitioners in the field, and will feature case studies and worked examples to illustrate more complicated transactions and techniques.
Produktdetails
- Produktdetails
- Wiley Finance Series
- Verlag: Wiley & Sons
- Artikelnr. des Verlages: 14574383000
- 1. Auflage
- Seitenzahl: 400
- Erscheinungstermin: 1. September 2009
- Englisch
- Abmessung: 251mm x 176mm x 30mm
- Gewicht: 834g
- ISBN-13: 9780470743836
- ISBN-10: 0470743832
- Artikelnr.: 26432069
- Wiley Finance Series
- Verlag: Wiley & Sons
- Artikelnr. des Verlages: 14574383000
- 1. Auflage
- Seitenzahl: 400
- Erscheinungstermin: 1. September 2009
- Englisch
- Abmessung: 251mm x 176mm x 30mm
- Gewicht: 834g
- ISBN-13: 9780470743836
- ISBN-10: 0470743832
- Artikelnr.: 26432069
About the editors DR PAULINE BARRIEU is a Reader (Associate Professor) at the London School of Economics. She has two PhDs in Mathematics and in Finance. Her research interests are mainly on the study of problems at the interface between finance and insurance, in particular ILS. She also works on quantitative methods for risk measurement and robust decision making, with applications in finance and environmental economics. LUCA ALBERTINI is Chief Executive Officer of Leadenhall Capital Partners, an asset management company dedicated to insurance linked investments strategies. Luca has over 16 year's securitisation experience, having worked at Citibank, GE Capital, Credit Suisse First Boston and at Swiss Re, where he became responsible for the European Insurance Linked Securities team.
Contents About the Contributors Acknowledgements 1 Introduction Pauline
Barrieu and Luca Albertini PART I NON-LIFE SECURITISATION 2 Non-life
Insurance Securitisation: Market Overview, Background and Evolution
Jonathan Spry 3 Cedants' Perspectives on Non-life Securitization 3A
Insurance-linked securities as part of advanced risk intermediation Insa
Adena, Katharina Hartwig and Georg Rindermann 3B Reinsurance vs
Securitisation Guillaume Gorge 3C Securitisation as a diversification from
traditional retrocession Jean-Luc Besson 4 Choice of Triggers Dominik
Hagedorn, Christian Heigl, Andreas Müller and Gerold Seidler 4.1 General
aspects 4.2 Indemnity triggers 4.3 Non-indemnity triggers 4.4 Choosing the
optimal trigger 5 Basis Risk from the Cedant's Perspective David Ross and
Jillian Williams 5.1 Introduction 5.2 Investor vs sponsor risk 5.3 Trigger
types 5.4 Catastrophe models 5.5 Sources of basis risk 5.6 Defining basis
risk 5.7 Quantifying basis risk 5.8 Minimising basis risk 5.9 Conclusion
Acknowledgements References 6 Rating Methodology Cameron Heath 6.1 Standard
& Poor's ratings services' rating process 6.2 Risk analysis 6.3 Legal and
swap documentation review process 6.4 Impact on sponsor References 7 Risk
Modelling and the Role and Benefits of Cat Indices Ben Brookes 7.1
Components of a cat model 7.2 Insurance-linked securities 7.3 Cat indices
7.4 Summary 8 Legal Issues Malcolm Wattman, Matthew Feig, James Langston,
and James Frazier 8.1 The note offering - federal securities law
implications 8.2 The note offering - the offering circular 8.3 Types of
transactions 8.4 Conclusion 9 The Investor Perspective (Non-Life) Luca
Albertini 9.1 The creation of a sustainable and liquid market 9.2 Key
transaction features from the investor perspective 9.3 Market evolution:
the investor perspective 10 ILS Portfolio Monitoring Systems Tibor Winkler
and John Stroughair 10.1 Introduction 10.2 Miu - An ILS platform in a
convergent space 10.3 RMS library of cat bond characterisations 10.4
Conclusion 11 The Evolution and Future of Reinsurance Sidecars Douglas J.
Lambert and Kenneth R. Pierce 11.1 A brief history of the brief history of
sidecars 11.2 Sidecar structures 11.3 The appeal of sidecars 11.4
Structuring considerations 11.5 The outlook for sidecars 11.6 Conclusion 12
Case Study: A Cat Bond Transaction by SCOR (Atlas) Emmanuel Durousseau 12.1
Introduction: SCOR's recent history 12.2 Atlas III and IV: Background 12.3
Atlas: Main characteristics 12.4 Basis Risk 12.5 Total Return Swap 12.6
Conclusion Appendix A A.1 Definition of events A.2 Extension events 13 Case
Study: Swiss Re's New Natural Catastrophe Protection Program (Vega) Jay
Green and Jean-Louis Monnier 13.1 A positive evolution of Swiss Re's ILS
strategy 13.2 Swiss Re accesses multi-event natural catastrophe coverage
13.3 The first ILS to use a cash reserve account as credit enhancement 13.4
Innovation leads to more efficient protection PART II LIFE SECURITISATION
14 General Features of Life Insurance-Linked Securitisation Norman Peard
14.1 Life insurer corporate and business structures, risks and products
14.2 Actors and their roles 14.3 Process 15 Cedants' Perspectives on Life
Securitisation 15A A cedant's perspective on life securitisation Alison
McKie 15A.1 Why securitise? 15A.2 Life ILS can be complex 15A.3 Outlook for
life ILS 15B A cedant's perspective on life securitisation Chris Madsen
15B.1 Key considerations 15B.2 Examples of securitisation opportunities
15B.3 Differences between securitisation and reinsurance 16 Rating
Methodology Harish Gohil 16.1 Fitch's approach to the rating process 16.2
Insurance risk analysis 16.3 Zest: a VIF case study References 17 Life
Securitisation: Risk Modelling Steven Schreiber 17.1 Modelling of a
catastrophic mortality transaction 17.2 Modelling of a VIF transaction 18
Life Insurance Securitisation: Legal Issues Jennifer Donohue 18.1
Monetisation of future cash flows 18.2 Legal aspects of life insurance
securitisation - some key features 18.3 Some examples of value-in-force
securitisation/monetisation 18.4 Outlook 19 The Investor Perspective (Life)
Luca Albertini 19.1 Life insurance-linked risks and investor appetite 19.2
Key transaction features from the investor perspective 19.3 Market
evolution: the investor perspective 20 Longevity Securitisation: Specific
Challenges and Transactions Jennifer Donohue, Kirsty Maclean and Norman
Peard 20.1 Mortality and longevity risk 20.2 A market for longevity risk
20.3 Key structural aspects of longevity risk securitisation 20.4 Some
features of longevity risk 21 Longevity Risk Transfer: Indices and Capital
Market Solutions Guy Coughlan 21.1 The nature of longevity risk 21.2 The
market for longevity risk transfer 21.3 Importance of indices, tools and
standards 21.4 Capital market instruments for longevity risk transfer 21.5
Customised vs standardised longevity hedges 21.6 Case study: customised
longevity hedge 21.7 Implementing a standardised index-based longevity
hedge 21.8 Conclusions References 22 Case Study: A Cat Mortality Bond by
AXA (OSIRIS) Sylvain Coriat 22.1 Catastrophic pandemic risk 22.2 Considered
risk transfer tools 22.3 Detailed structure 22.4 Risk analysis 22.5
Investors' reaction 22.6 Spread behaviour 22.7 Next steps Reference 23 Case
Study: Some Embedded Value and XXX Securitisations Michael Eakins and
Nicola Dondi 23.1 Embedded value securitisation - Avondale S.A. 23.2 XXX
securitisation PART III TAX AND REGULATORY CONSIDERATIONS 24 The UK
Taxation Treatment of Insurance-Linked Securities Adam Blakemore and Oliver
Iliffe 24.1 The Directive and the taxation of UK ISPVs 24.2 Non-UK
insurance special purpose vehicles 24.3 Indirect taxes and withholding of
income tax Further reading 25 The US Federal Income Taxation Treatment of
Insurance-Linked Securities David S. Miller and Shlomo Boehm 25.1 Avoiding
US corporate income tax for the issuer 25.2 Withholding tax and excise tax
25.3 US federal income tax treatment of an investor in a catastrophe bond
issuer: overview Reference 26 Regulatory Issues and Solvency Capital
Requirements Mark Nicolaides, Simeon Rudin, Rick Watson and Katharina
Hartwig 26.1 Regulatory issues relevant for ILS sponsors 26.2 Solvency I
26.3 Solvency II Appendix A: Standard formula, solvency capital requirement
(SCR) Index
Barrieu and Luca Albertini PART I NON-LIFE SECURITISATION 2 Non-life
Insurance Securitisation: Market Overview, Background and Evolution
Jonathan Spry 3 Cedants' Perspectives on Non-life Securitization 3A
Insurance-linked securities as part of advanced risk intermediation Insa
Adena, Katharina Hartwig and Georg Rindermann 3B Reinsurance vs
Securitisation Guillaume Gorge 3C Securitisation as a diversification from
traditional retrocession Jean-Luc Besson 4 Choice of Triggers Dominik
Hagedorn, Christian Heigl, Andreas Müller and Gerold Seidler 4.1 General
aspects 4.2 Indemnity triggers 4.3 Non-indemnity triggers 4.4 Choosing the
optimal trigger 5 Basis Risk from the Cedant's Perspective David Ross and
Jillian Williams 5.1 Introduction 5.2 Investor vs sponsor risk 5.3 Trigger
types 5.4 Catastrophe models 5.5 Sources of basis risk 5.6 Defining basis
risk 5.7 Quantifying basis risk 5.8 Minimising basis risk 5.9 Conclusion
Acknowledgements References 6 Rating Methodology Cameron Heath 6.1 Standard
& Poor's ratings services' rating process 6.2 Risk analysis 6.3 Legal and
swap documentation review process 6.4 Impact on sponsor References 7 Risk
Modelling and the Role and Benefits of Cat Indices Ben Brookes 7.1
Components of a cat model 7.2 Insurance-linked securities 7.3 Cat indices
7.4 Summary 8 Legal Issues Malcolm Wattman, Matthew Feig, James Langston,
and James Frazier 8.1 The note offering - federal securities law
implications 8.2 The note offering - the offering circular 8.3 Types of
transactions 8.4 Conclusion 9 The Investor Perspective (Non-Life) Luca
Albertini 9.1 The creation of a sustainable and liquid market 9.2 Key
transaction features from the investor perspective 9.3 Market evolution:
the investor perspective 10 ILS Portfolio Monitoring Systems Tibor Winkler
and John Stroughair 10.1 Introduction 10.2 Miu - An ILS platform in a
convergent space 10.3 RMS library of cat bond characterisations 10.4
Conclusion 11 The Evolution and Future of Reinsurance Sidecars Douglas J.
Lambert and Kenneth R. Pierce 11.1 A brief history of the brief history of
sidecars 11.2 Sidecar structures 11.3 The appeal of sidecars 11.4
Structuring considerations 11.5 The outlook for sidecars 11.6 Conclusion 12
Case Study: A Cat Bond Transaction by SCOR (Atlas) Emmanuel Durousseau 12.1
Introduction: SCOR's recent history 12.2 Atlas III and IV: Background 12.3
Atlas: Main characteristics 12.4 Basis Risk 12.5 Total Return Swap 12.6
Conclusion Appendix A A.1 Definition of events A.2 Extension events 13 Case
Study: Swiss Re's New Natural Catastrophe Protection Program (Vega) Jay
Green and Jean-Louis Monnier 13.1 A positive evolution of Swiss Re's ILS
strategy 13.2 Swiss Re accesses multi-event natural catastrophe coverage
13.3 The first ILS to use a cash reserve account as credit enhancement 13.4
Innovation leads to more efficient protection PART II LIFE SECURITISATION
14 General Features of Life Insurance-Linked Securitisation Norman Peard
14.1 Life insurer corporate and business structures, risks and products
14.2 Actors and their roles 14.3 Process 15 Cedants' Perspectives on Life
Securitisation 15A A cedant's perspective on life securitisation Alison
McKie 15A.1 Why securitise? 15A.2 Life ILS can be complex 15A.3 Outlook for
life ILS 15B A cedant's perspective on life securitisation Chris Madsen
15B.1 Key considerations 15B.2 Examples of securitisation opportunities
15B.3 Differences between securitisation and reinsurance 16 Rating
Methodology Harish Gohil 16.1 Fitch's approach to the rating process 16.2
Insurance risk analysis 16.3 Zest: a VIF case study References 17 Life
Securitisation: Risk Modelling Steven Schreiber 17.1 Modelling of a
catastrophic mortality transaction 17.2 Modelling of a VIF transaction 18
Life Insurance Securitisation: Legal Issues Jennifer Donohue 18.1
Monetisation of future cash flows 18.2 Legal aspects of life insurance
securitisation - some key features 18.3 Some examples of value-in-force
securitisation/monetisation 18.4 Outlook 19 The Investor Perspective (Life)
Luca Albertini 19.1 Life insurance-linked risks and investor appetite 19.2
Key transaction features from the investor perspective 19.3 Market
evolution: the investor perspective 20 Longevity Securitisation: Specific
Challenges and Transactions Jennifer Donohue, Kirsty Maclean and Norman
Peard 20.1 Mortality and longevity risk 20.2 A market for longevity risk
20.3 Key structural aspects of longevity risk securitisation 20.4 Some
features of longevity risk 21 Longevity Risk Transfer: Indices and Capital
Market Solutions Guy Coughlan 21.1 The nature of longevity risk 21.2 The
market for longevity risk transfer 21.3 Importance of indices, tools and
standards 21.4 Capital market instruments for longevity risk transfer 21.5
Customised vs standardised longevity hedges 21.6 Case study: customised
longevity hedge 21.7 Implementing a standardised index-based longevity
hedge 21.8 Conclusions References 22 Case Study: A Cat Mortality Bond by
AXA (OSIRIS) Sylvain Coriat 22.1 Catastrophic pandemic risk 22.2 Considered
risk transfer tools 22.3 Detailed structure 22.4 Risk analysis 22.5
Investors' reaction 22.6 Spread behaviour 22.7 Next steps Reference 23 Case
Study: Some Embedded Value and XXX Securitisations Michael Eakins and
Nicola Dondi 23.1 Embedded value securitisation - Avondale S.A. 23.2 XXX
securitisation PART III TAX AND REGULATORY CONSIDERATIONS 24 The UK
Taxation Treatment of Insurance-Linked Securities Adam Blakemore and Oliver
Iliffe 24.1 The Directive and the taxation of UK ISPVs 24.2 Non-UK
insurance special purpose vehicles 24.3 Indirect taxes and withholding of
income tax Further reading 25 The US Federal Income Taxation Treatment of
Insurance-Linked Securities David S. Miller and Shlomo Boehm 25.1 Avoiding
US corporate income tax for the issuer 25.2 Withholding tax and excise tax
25.3 US federal income tax treatment of an investor in a catastrophe bond
issuer: overview Reference 26 Regulatory Issues and Solvency Capital
Requirements Mark Nicolaides, Simeon Rudin, Rick Watson and Katharina
Hartwig 26.1 Regulatory issues relevant for ILS sponsors 26.2 Solvency I
26.3 Solvency II Appendix A: Standard formula, solvency capital requirement
(SCR) Index
Contents About the Contributors Acknowledgements 1 Introduction Pauline
Barrieu and Luca Albertini PART I NON-LIFE SECURITISATION 2 Non-life
Insurance Securitisation: Market Overview, Background and Evolution
Jonathan Spry 3 Cedants' Perspectives on Non-life Securitization 3A
Insurance-linked securities as part of advanced risk intermediation Insa
Adena, Katharina Hartwig and Georg Rindermann 3B Reinsurance vs
Securitisation Guillaume Gorge 3C Securitisation as a diversification from
traditional retrocession Jean-Luc Besson 4 Choice of Triggers Dominik
Hagedorn, Christian Heigl, Andreas Müller and Gerold Seidler 4.1 General
aspects 4.2 Indemnity triggers 4.3 Non-indemnity triggers 4.4 Choosing the
optimal trigger 5 Basis Risk from the Cedant's Perspective David Ross and
Jillian Williams 5.1 Introduction 5.2 Investor vs sponsor risk 5.3 Trigger
types 5.4 Catastrophe models 5.5 Sources of basis risk 5.6 Defining basis
risk 5.7 Quantifying basis risk 5.8 Minimising basis risk 5.9 Conclusion
Acknowledgements References 6 Rating Methodology Cameron Heath 6.1 Standard
& Poor's ratings services' rating process 6.2 Risk analysis 6.3 Legal and
swap documentation review process 6.4 Impact on sponsor References 7 Risk
Modelling and the Role and Benefits of Cat Indices Ben Brookes 7.1
Components of a cat model 7.2 Insurance-linked securities 7.3 Cat indices
7.4 Summary 8 Legal Issues Malcolm Wattman, Matthew Feig, James Langston,
and James Frazier 8.1 The note offering - federal securities law
implications 8.2 The note offering - the offering circular 8.3 Types of
transactions 8.4 Conclusion 9 The Investor Perspective (Non-Life) Luca
Albertini 9.1 The creation of a sustainable and liquid market 9.2 Key
transaction features from the investor perspective 9.3 Market evolution:
the investor perspective 10 ILS Portfolio Monitoring Systems Tibor Winkler
and John Stroughair 10.1 Introduction 10.2 Miu - An ILS platform in a
convergent space 10.3 RMS library of cat bond characterisations 10.4
Conclusion 11 The Evolution and Future of Reinsurance Sidecars Douglas J.
Lambert and Kenneth R. Pierce 11.1 A brief history of the brief history of
sidecars 11.2 Sidecar structures 11.3 The appeal of sidecars 11.4
Structuring considerations 11.5 The outlook for sidecars 11.6 Conclusion 12
Case Study: A Cat Bond Transaction by SCOR (Atlas) Emmanuel Durousseau 12.1
Introduction: SCOR's recent history 12.2 Atlas III and IV: Background 12.3
Atlas: Main characteristics 12.4 Basis Risk 12.5 Total Return Swap 12.6
Conclusion Appendix A A.1 Definition of events A.2 Extension events 13 Case
Study: Swiss Re's New Natural Catastrophe Protection Program (Vega) Jay
Green and Jean-Louis Monnier 13.1 A positive evolution of Swiss Re's ILS
strategy 13.2 Swiss Re accesses multi-event natural catastrophe coverage
13.3 The first ILS to use a cash reserve account as credit enhancement 13.4
Innovation leads to more efficient protection PART II LIFE SECURITISATION
14 General Features of Life Insurance-Linked Securitisation Norman Peard
14.1 Life insurer corporate and business structures, risks and products
14.2 Actors and their roles 14.3 Process 15 Cedants' Perspectives on Life
Securitisation 15A A cedant's perspective on life securitisation Alison
McKie 15A.1 Why securitise? 15A.2 Life ILS can be complex 15A.3 Outlook for
life ILS 15B A cedant's perspective on life securitisation Chris Madsen
15B.1 Key considerations 15B.2 Examples of securitisation opportunities
15B.3 Differences between securitisation and reinsurance 16 Rating
Methodology Harish Gohil 16.1 Fitch's approach to the rating process 16.2
Insurance risk analysis 16.3 Zest: a VIF case study References 17 Life
Securitisation: Risk Modelling Steven Schreiber 17.1 Modelling of a
catastrophic mortality transaction 17.2 Modelling of a VIF transaction 18
Life Insurance Securitisation: Legal Issues Jennifer Donohue 18.1
Monetisation of future cash flows 18.2 Legal aspects of life insurance
securitisation - some key features 18.3 Some examples of value-in-force
securitisation/monetisation 18.4 Outlook 19 The Investor Perspective (Life)
Luca Albertini 19.1 Life insurance-linked risks and investor appetite 19.2
Key transaction features from the investor perspective 19.3 Market
evolution: the investor perspective 20 Longevity Securitisation: Specific
Challenges and Transactions Jennifer Donohue, Kirsty Maclean and Norman
Peard 20.1 Mortality and longevity risk 20.2 A market for longevity risk
20.3 Key structural aspects of longevity risk securitisation 20.4 Some
features of longevity risk 21 Longevity Risk Transfer: Indices and Capital
Market Solutions Guy Coughlan 21.1 The nature of longevity risk 21.2 The
market for longevity risk transfer 21.3 Importance of indices, tools and
standards 21.4 Capital market instruments for longevity risk transfer 21.5
Customised vs standardised longevity hedges 21.6 Case study: customised
longevity hedge 21.7 Implementing a standardised index-based longevity
hedge 21.8 Conclusions References 22 Case Study: A Cat Mortality Bond by
AXA (OSIRIS) Sylvain Coriat 22.1 Catastrophic pandemic risk 22.2 Considered
risk transfer tools 22.3 Detailed structure 22.4 Risk analysis 22.5
Investors' reaction 22.6 Spread behaviour 22.7 Next steps Reference 23 Case
Study: Some Embedded Value and XXX Securitisations Michael Eakins and
Nicola Dondi 23.1 Embedded value securitisation - Avondale S.A. 23.2 XXX
securitisation PART III TAX AND REGULATORY CONSIDERATIONS 24 The UK
Taxation Treatment of Insurance-Linked Securities Adam Blakemore and Oliver
Iliffe 24.1 The Directive and the taxation of UK ISPVs 24.2 Non-UK
insurance special purpose vehicles 24.3 Indirect taxes and withholding of
income tax Further reading 25 The US Federal Income Taxation Treatment of
Insurance-Linked Securities David S. Miller and Shlomo Boehm 25.1 Avoiding
US corporate income tax for the issuer 25.2 Withholding tax and excise tax
25.3 US federal income tax treatment of an investor in a catastrophe bond
issuer: overview Reference 26 Regulatory Issues and Solvency Capital
Requirements Mark Nicolaides, Simeon Rudin, Rick Watson and Katharina
Hartwig 26.1 Regulatory issues relevant for ILS sponsors 26.2 Solvency I
26.3 Solvency II Appendix A: Standard formula, solvency capital requirement
(SCR) Index
Barrieu and Luca Albertini PART I NON-LIFE SECURITISATION 2 Non-life
Insurance Securitisation: Market Overview, Background and Evolution
Jonathan Spry 3 Cedants' Perspectives on Non-life Securitization 3A
Insurance-linked securities as part of advanced risk intermediation Insa
Adena, Katharina Hartwig and Georg Rindermann 3B Reinsurance vs
Securitisation Guillaume Gorge 3C Securitisation as a diversification from
traditional retrocession Jean-Luc Besson 4 Choice of Triggers Dominik
Hagedorn, Christian Heigl, Andreas Müller and Gerold Seidler 4.1 General
aspects 4.2 Indemnity triggers 4.3 Non-indemnity triggers 4.4 Choosing the
optimal trigger 5 Basis Risk from the Cedant's Perspective David Ross and
Jillian Williams 5.1 Introduction 5.2 Investor vs sponsor risk 5.3 Trigger
types 5.4 Catastrophe models 5.5 Sources of basis risk 5.6 Defining basis
risk 5.7 Quantifying basis risk 5.8 Minimising basis risk 5.9 Conclusion
Acknowledgements References 6 Rating Methodology Cameron Heath 6.1 Standard
& Poor's ratings services' rating process 6.2 Risk analysis 6.3 Legal and
swap documentation review process 6.4 Impact on sponsor References 7 Risk
Modelling and the Role and Benefits of Cat Indices Ben Brookes 7.1
Components of a cat model 7.2 Insurance-linked securities 7.3 Cat indices
7.4 Summary 8 Legal Issues Malcolm Wattman, Matthew Feig, James Langston,
and James Frazier 8.1 The note offering - federal securities law
implications 8.2 The note offering - the offering circular 8.3 Types of
transactions 8.4 Conclusion 9 The Investor Perspective (Non-Life) Luca
Albertini 9.1 The creation of a sustainable and liquid market 9.2 Key
transaction features from the investor perspective 9.3 Market evolution:
the investor perspective 10 ILS Portfolio Monitoring Systems Tibor Winkler
and John Stroughair 10.1 Introduction 10.2 Miu - An ILS platform in a
convergent space 10.3 RMS library of cat bond characterisations 10.4
Conclusion 11 The Evolution and Future of Reinsurance Sidecars Douglas J.
Lambert and Kenneth R. Pierce 11.1 A brief history of the brief history of
sidecars 11.2 Sidecar structures 11.3 The appeal of sidecars 11.4
Structuring considerations 11.5 The outlook for sidecars 11.6 Conclusion 12
Case Study: A Cat Bond Transaction by SCOR (Atlas) Emmanuel Durousseau 12.1
Introduction: SCOR's recent history 12.2 Atlas III and IV: Background 12.3
Atlas: Main characteristics 12.4 Basis Risk 12.5 Total Return Swap 12.6
Conclusion Appendix A A.1 Definition of events A.2 Extension events 13 Case
Study: Swiss Re's New Natural Catastrophe Protection Program (Vega) Jay
Green and Jean-Louis Monnier 13.1 A positive evolution of Swiss Re's ILS
strategy 13.2 Swiss Re accesses multi-event natural catastrophe coverage
13.3 The first ILS to use a cash reserve account as credit enhancement 13.4
Innovation leads to more efficient protection PART II LIFE SECURITISATION
14 General Features of Life Insurance-Linked Securitisation Norman Peard
14.1 Life insurer corporate and business structures, risks and products
14.2 Actors and their roles 14.3 Process 15 Cedants' Perspectives on Life
Securitisation 15A A cedant's perspective on life securitisation Alison
McKie 15A.1 Why securitise? 15A.2 Life ILS can be complex 15A.3 Outlook for
life ILS 15B A cedant's perspective on life securitisation Chris Madsen
15B.1 Key considerations 15B.2 Examples of securitisation opportunities
15B.3 Differences between securitisation and reinsurance 16 Rating
Methodology Harish Gohil 16.1 Fitch's approach to the rating process 16.2
Insurance risk analysis 16.3 Zest: a VIF case study References 17 Life
Securitisation: Risk Modelling Steven Schreiber 17.1 Modelling of a
catastrophic mortality transaction 17.2 Modelling of a VIF transaction 18
Life Insurance Securitisation: Legal Issues Jennifer Donohue 18.1
Monetisation of future cash flows 18.2 Legal aspects of life insurance
securitisation - some key features 18.3 Some examples of value-in-force
securitisation/monetisation 18.4 Outlook 19 The Investor Perspective (Life)
Luca Albertini 19.1 Life insurance-linked risks and investor appetite 19.2
Key transaction features from the investor perspective 19.3 Market
evolution: the investor perspective 20 Longevity Securitisation: Specific
Challenges and Transactions Jennifer Donohue, Kirsty Maclean and Norman
Peard 20.1 Mortality and longevity risk 20.2 A market for longevity risk
20.3 Key structural aspects of longevity risk securitisation 20.4 Some
features of longevity risk 21 Longevity Risk Transfer: Indices and Capital
Market Solutions Guy Coughlan 21.1 The nature of longevity risk 21.2 The
market for longevity risk transfer 21.3 Importance of indices, tools and
standards 21.4 Capital market instruments for longevity risk transfer 21.5
Customised vs standardised longevity hedges 21.6 Case study: customised
longevity hedge 21.7 Implementing a standardised index-based longevity
hedge 21.8 Conclusions References 22 Case Study: A Cat Mortality Bond by
AXA (OSIRIS) Sylvain Coriat 22.1 Catastrophic pandemic risk 22.2 Considered
risk transfer tools 22.3 Detailed structure 22.4 Risk analysis 22.5
Investors' reaction 22.6 Spread behaviour 22.7 Next steps Reference 23 Case
Study: Some Embedded Value and XXX Securitisations Michael Eakins and
Nicola Dondi 23.1 Embedded value securitisation - Avondale S.A. 23.2 XXX
securitisation PART III TAX AND REGULATORY CONSIDERATIONS 24 The UK
Taxation Treatment of Insurance-Linked Securities Adam Blakemore and Oliver
Iliffe 24.1 The Directive and the taxation of UK ISPVs 24.2 Non-UK
insurance special purpose vehicles 24.3 Indirect taxes and withholding of
income tax Further reading 25 The US Federal Income Taxation Treatment of
Insurance-Linked Securities David S. Miller and Shlomo Boehm 25.1 Avoiding
US corporate income tax for the issuer 25.2 Withholding tax and excise tax
25.3 US federal income tax treatment of an investor in a catastrophe bond
issuer: overview Reference 26 Regulatory Issues and Solvency Capital
Requirements Mark Nicolaides, Simeon Rudin, Rick Watson and Katharina
Hartwig 26.1 Regulatory issues relevant for ILS sponsors 26.2 Solvency I
26.3 Solvency II Appendix A: Standard formula, solvency capital requirement
(SCR) Index