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Informationen zum Autor 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. Klappentext 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. Zusammenfassung This book provides a much needed reference for finance practitioners on the rapidly growing Insurance Linked Securities markets. Inhaltsverzeichnis About the Contributors xv Acknowledgements xxv 1 Introduction 1 Pauline Barrieu and Luca Albertini Part I Non-life Securitisation 7 2 Non-life Insurance Securitisation: Market Overview, Background and Evolution 9 Jonathan Spry 2.1 Market overview 9 2.2 Market dynamics 14 2.3 The question of basis risk remains 16 2.4 ILS and the credit crunch 18 3 Cedants' Perspectives on Non-life Securitization 19 3A Insurance-linked securities as part of advanced risk intermediation 21 Insa Adena, Katharina Hartwig and Georg Rindermann 3A.1 Motivation for Allianz to take part in ILS activities 21 3A.2 Objectives of insurance companies 23 3A.3 Case study: Blue Fin Ltd 24 References 28 3B Reinsurance vs Securitisation 29 Guillaume Gorge 3B.1 Keeping risk vs transferring it 29 3B.2 Reinsurance vs securitisation 30 3B.3 Application to main P&C risks 31 3B.4 Case studies: Aura re and Sparc 32 3B.5 Limits and success factors to securitisation 33 References 34 3C Securitisation as a diversification from traditional retrocession 35 Jean-Luc Besson 4 Choice of Triggers 37 Dominik Hagedorn, Christian Heigl, Andreas Müller and Gerold Seidler 4.1 General aspects 37 4.2 Indemnity triggers 38 4.2.1 Scope of coverage 39 4.2.2 Payout timing 39 4.2.3 Loss verification 40 4.2.4 Transparency 40 4.3 Non-indemnity triggers 41 4.3.1 Parametric triggers (pure and index) 41 4.3.2 Industry loss triggers...
