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         2nd
Insurance
Linked
Securities
Summit
                                                                    Europe
                                                               TM




26-28 April 2010 | London, UK


Delivering Superior Returns through Strategic Investments in Cat
Bonds, Life Settlements and other Insurance-Linked Securities

It was very well attended and the discussions were fascinating. The organization of the event
was perfect - Urs Ramseier, Head of Insurance-Linked Securities, Horizon 21 Alternative Investments


40+ industry-leading speakers, including the following thought-
leaders, fund managers, and investors:
         Peter Jan de Koning         Reto Koller                    Jeremy Leach              John DeCaro                 Robin Willi
         Senior Portfolio            Head of Reinsurance            Group Managing            Co-Founder                  CIO
         Manager                     Recoveries                     Director                  Elementum                   Rigi Capital Partners
         PGGM                        Zurich                         Managing Partners Ltd     Advisors
                                                                                                                          Dr. Myles Allen
         Thomas Hess                 John Seo                       Christophe Fritsch        Thomas Laumont              Head of Climate
         Chief Economist             Managing Principal             Head of ILS Team          Chairman                    Dynamics Group
         Swiss Re                    Fermat Capital LLC             AXA Investment            BVDZ                        University of Oxford
                                                                    Management



New for 2010:                                                                            Keynote Speakers:
•   Dedicated tracks for the life and non-life sides of the market                           “A Vision of the ILS Market in 2015”
                                                                                             Ulrich Wallin
•   The effect of Solvency II on cat bond issuance                                           CEO
•   Fund manager perspectives on ILS diversification strategies                              Hannover Re
•   The new transparency imperative for ILS and life settlement funds
•   Pension fund perspectives on the ILS asset allocation process                            “The UN’s Mortality Risk Index”
                                                                                             Assistant Secretary-General
•   The increasing role of indices in European risk transfer
                                                                                             Margareta Wahlström
•   The implications of US life settlements regulations for European                         Special Representative for Disaster Risk
    investors                                                                                Reduction
                                                                                             United Nations
•   The special challenge of modeling European windstorms

                                                                                                                   peakers
                                                                                                           0% of sr 2010!
Sponsors:
                                                                                                          6
                                                                                                            new fo



+44 (0) 20 7368 9300 •                                                           www.ilseurope.co.uk
An outstanding line-
                                                                                                             up of investors,
                                                                                                             fund managers and
            2nd                                                                                              industry experts:
       Insurance
       Linked                                                                                                Ulrich Wallin, CEO, Hannover Re – New!
                                                                                                             Assistant Secretary-General Margareta
       Securities                                                                                            Wahlström, Special Representative
                                                                                                             for Disaster Risk Reduction, United
       Summit
                                      Europe
                                     TM
                                                                                                             Nations – New!
                                                                                                             Peter Jan de Koning, Senior Portfolio
                                                                                                             Manager, PGGM – New!
       Dear Colleague,                                                                                       Reto Koller, Head of Reinsurance
                                                                                                             Recoveries, Zurich – New!
       Welcome to IQPC’s 2nd ILS Summit                                                                      Thomas Hess, Chief Economist,
                                             Europe - the most important date
       European investors interested in the                                       of the year for            Swiss Re – New!
                                            returns and diversification benefits
       securities and life settlements.                                          of insurance-linked         Amer Ahmed, Chief Risk Officer, Allianz
                                                                                                             Robin Willi, Chief Investment Officer, Rigi
       2010 promises to be an exciting year                                                                  Capital Partners
                                               for the market. On the non-life side
       securities fared well in 2009, with                                            , insurance-linked
                                           around $3billion issued in the mids                               John Seo, Managing Principal, Fermat
       challenging economic environment.                                        t of an extremely
                                             Going into 2010 the stage is set for                            Capital LLC
      volume of new issuance and the eme                                            growth, with the
                                              rgence of new investors expected to                            Jeremy Leach, Group Managing Director,
      In Europe, the development of EU-w                                               increase in tandem.
                                             ide market loss indices looks set to                            Managing Partners Ltd – New!
      European ILS and ILWs by enabling                                            expand the market in
                                            new transparency and more standard                               Jean-Michel Paul, CEO, Acheron
      Most commentators predict a total                                             ised instruments.
                                           of $4-6billion of new issuances over                              Capital – New!
      year.                                                                        the course of the
                                                                                                             Forrest Gilman, Founder, Last
                                                                                                             Wave Capital – New!
      Several challenges still remain, how
                                            ever. Firstly, although transparency                             Christophe Fritsch, Head of ILS Team,
      are still a number of areas where                                           is improving, there
                                         it lags behind other asset classes –                                AXA Investment Management – New!
     insurance-linked instruments, for exam                                    in the pricing of
                                                ple, and in the formulation and sele                         Pete Vloedman, Co-Founder, Anchor
     estimates. Greater transparency in                                                ction of loss
                                           these and other areas will be nece                                Risk Advisors – New!
     dramatic improvement in the willi                                          ssary before we see a
                                         ngness of institutional investors to                                Dr Myles Allen, Head of Climate
                                                                               allocate capital.
     On the life side, the US regulatory                                                                     Dynamics Group, University of
                                          landscape continues to evolve rapi                                 Oxford – New!
     area of concern for European inve                                         dly and remains an
                                         stors. The shifting dynamics between                                John DeCaro, Co-Founder, Elementum
     NCOIL regulatory paradigms, com                                               the NAIC and
                                         bined with the possibility of SEC and                               Advisors – New!
    oversight, are of critical importance                                        /or other federal
                                            to the willingness of European inve                              Anatol Mueller, Fund Manager, Finter
    capital. Innovation on the life side                                          stors to allocate
                                         remains strong, however, with new                                   Private Bank – New!
    synthetics, fusion products and shar                                         developments in
                                           i’ah compliant longevity investments
    the envelope and broaden the inve                                               continuing to push       Luca Albertini, CEO, Leadenhall
                                          stor base.                                                         Capital Partners
    These and many other critical issue                                                                      Franz-Philippe Przybyl, CEO, Berlin
                                       s will be explored and debated at
    Europe, providing investors with the                                 the 2nd ILS Summit                  Atlantic Capital
                                         information they need to invest effe
    and with confidence.                                                     ctively, profitably,            Karsten Bromann, Managing Partner &
                                                                                                             Chief Risk Officer, Solidum Partners
    Kind regards,                                                                                            Niklaus Hilti, Head of Insurance-Linked
                                                                                                             Strategies, Credit Suisse Asset
                                                         PS: Don miss pre-conference
                                                               ’t                                            Management
                                                                                                             Heinz Kubli, Managing Partner,
                                                         workshops led by John Seo                           Fundabilis
                                                                                                             Marcel Grandi, Senior Portfolio Manager,
          Toby Donovan                                   and Robin Willi - see page 3                        ILS, Credit Suisse Asset Management
          Program Director                                                                                   Thomas Laumont, Chairman,
          Toby.Donovan@iqpc.com                          for more details                                    BVDZ – New!
                                                                                                             Beat Holliger, Managing Director,
                                                                                                             Munich Re
                                                                                                             Scott Willkomm, SVP, Business
     Who Will Attend:
                                                                                                             Development, Coventry
                                   ■ 7% Pension Funds & Institutional Investors                              Michael Freedman, SVP, Government
                                   ■ 28% Hedge Funds, Asset Management Firms                                 Affairs, Coventry
                                         & Other Buyside
                                   ■ 18% Insurance and Reinsurance Companies                                 Dr. Andreas Müller, Head of Origination,
                                   ■ 12% Banks                                                               Distribution & ILS Investments, Munich Re
                                   ■ 12% Life Settlement Companies                                           Michael Stahel, Head of Insurance-Linked
                                   ■ 8% Law Firms                                                            Investments, Clariden Leu
                                   ■ 5% LE Provers & Underwriters
                                                                                                             David Rawson McKenzie, Fund Director,
                                   ■ 5% Modeling Agencies
                                                                                                             Centurion Fund Management
                                   ■ 5% Other

2    +44 (0) 20 7368 9300 •                          www.ilseurope.co.uk
Pre-Conference Workshops
Monday, 26 April 2010
 “The conference was great and I learned a lot of new things, especially within the pre-conference workshops! I
     think you did a fantastic job in pulling everything together, the speakers had excellent experience and
           knowledge. Keep up the good work!” - Sun-Siang Liew, Senior Analyst, Validus Research

 9.30 – 12.00 (Registration at 9.00)


 A          Optimizing a Portfolio of Catastrophe Risks
            John Seo                                                       What you will learn:
            Managing Principal                                             • Achieving visibility over the full spectrum of diversification strategies

            Fermat Capital                                                 • Diversification by asset class (equity, debt, commodities & ILS)

                                                                           • Diversification by subsectors (wind, quake, life) and geographical regions

 For investors new to catastrophe risks, there are bewildering array of      (US, Japan, Europe, etc)
 different risks, regions, sourcing channels and maturity levels           • Diversification by sourcing channels (cat bonds, ILWs, sidecars, exchange-

 available for portfolio diversification. But what does the “optimal”        traded products)
 allocation strategy look like, and how should investors align their       • Diversification by maturity (<1 year, 2-5 years, >5 years)

 risk/reward tolerance with the many options that are available?
 Attending this 2-hour long workshop – led by ILS rainmaker John           How you will benefit:
 Seo – will provide you with a detailed knowledge of cat risk              • Understand how to balance diversity levels with your required risk-reward

 portfolio creation, making you a better investor in this exciting asset     tolerance
 class.                                                                    • Achieve visibility over the risk metrics for each region and peril combination

                                                                           • Overcome the pricing difficulties of infrequent historical events




 13.00 – 15.30 (Registration at 12.30)

 B          Risk Management for Life Settlement Portfolios: Uncovering the Secrets to
            Investing with Confidence

            Robin Willi                                                    What you will learn:
            Chief Investment Officer                                       • A closer look at the policy selection process – safeguarding against insurable

            Rigi Capital Partners                                            interest and other potential procurement issues
                                                                           • Understand how the valuation process can help to mitigate extended

 Investing in life settlements is a complicated business, with a             longevity risk in a life settlement portfolio
 number of critical risks that need to be addressed by the investor in     • Determine the right legal structure for the right jurisdiction (Ireland,

 order to maximize returns. This workshop will provide investors,            Luxembourg) to help mitigate tax issues such as the potential impact of the
 fund managers, and others involved in the life settlements space            recent IRS rulings
 with the tools they need to manage and reduce risk, whether it’s the      • Examine synthetic strategies for managing liquidity risk, including how to

 risk of longevity, the risk of incorrect valuation, the risk of sub-        hedge liquidity and currency/credit risks associated with a life settlement
 optimal policy selection, as well as legal and liquidity risks. An          portfolio
 unmissable workshop for those seeking to invest with confidence!
                                                                           How you will benefit:
                                                                           • Invest in confidence

                                                                           • Get a comprehensive understanding of the risks involved with investing in

                                                                             life settlements before you commit capital
                                                                           • Walk away with the most cost-effective strategies for reducing the riskiness

                                                                             of your life settlement investments


 16.00 – 18.30 (Registration at 15.30)


 C          Making Better Use of Catastrophe Models

 Workshop leader to be confirmed                                           What you will learn:
 – See www.ilseurope.co.uk for updates                                     • Understand how catastrophe models combine actuarial science,

                                                                             engineering, seismology, meteorology and expert opinion
 Catastrophe models are a critical part of the puzzle for investors in     • Examine the interrelationship between hazard, inventory and vulnerability

 non-life ILS, but there are few outside the modeling agencies               values within cat models
 themselves who understand exactly how the models are designed.            • Gain a better sense of the ways catastrophe models are used in the

 In this workshop, take a look “under the hood” of some of the               structuring – and choice – of cat bond triggers
 world’s most important and popular catastrophe models, and learn
 how to make better use of models in your investment calculations.         How you will benefit:
                                                                           • Learn what the implications are of discrepancies between different

                                                                             catastrophe models
                                                                           • Become a more sophisticated cat bond investor by better understanding the

                                                                             relationship between modeled values and cat bond pricing




Sponsors:                                                                                                                                                     3
Main Conference Day 1
    Tuesday, 27 April 2010
     The quality of attendees was very high – a sign that this market is growing!” - Albert Pinzon, Member, Cozen O’Connor
           Coffee & Registration                                                           Opening Keynote Address: ILS and the                                   of
    7.15                                                                            9.15                                                                 A Vision S!
                                                                                           Future of Insurance Risk Transfer:                            Future IL
    8.15   Chairman’s Opening Remarks                                                      A Vision of the Market in 2015
                                                                                           • Examining the changing paradigm for insurance risk transfer in
    8.30   Panel: “From Interest to Allocation”:                                             light of the global economic recovery
           Investor Perspectives on the Attractiveness of ILS                              • Considerations on the future of insurance-linked securities and

           and the Sources of Future Liquidity                                               other forms of alternative risk transfer
           • A closer look at the way in which pension funds and                           • Forecasting the implications of climate change and extreme

             endowments make investment decisions                                            weather patterns on the market for insurance-linked securities
           • Identifying the most attractive characteristics of ILS from an                • Defining the future role of the global reinsurance industry in the

             institutional standpoint                                                        transfer, mitigation, and securitisation of risk
           • Quantifying the non-correlation benefit                                       Ulrich Wallin, CEO, Hannover Re
           • Incorporating ILS into an institutional portfolio: Determining

             whether your investment strategy requires a dedicated                  10.00 Keynote Address: Transferring Risks to the Capital
             investment unit                                                               Markets: The Increasing Role of Indices
           • Considerations on the manager selection process                               • Examining the benefits of index-linked investments for re/insurers
           • Risk and reward: Institutional considerations on catastrophe risk,              and investors
             credit risk, and collateral management                                        • Understanding the connection between indices, transparency and

           Peter Jan De Koning, Senior Portfolio Manager, PGGM                               securitisation
           Jean-Michel Paul, CEO, Acheron Capital                                          • Tracking the expansion of index-linked risk transfer beyond

           John Seo, Managing Principal, Fermat Capital                                      catastrophe risks
                                                                                           • Evaluating the growth prospects for index-linked instruments in

                                                                                             Europe and beyond
                                                                                           Thomas Hess, Chief Economist, Swiss Re

                                                                                    10.45 Morning Networking Break

                                    Concurrent Tracks Begin: Choose Track A (non-life) or Track B (life)
                                    Track A: Non-Life                                                             Track B: Life
    11.30 The Future of European Issuance:                                           A Pension Fund Perspective:
           The Ongoing Role of ILS as an Effective Risk                              How Longevity-Based Assets are Really Evaluated
           Management Tool                                                           Within Institutional Boardrooms
           • Identifying the advantages and disadvantages of insurance-linked        • A look at the asset class from the outside: How appealing are
             securities compared with traditional reinsurance                          longevity-based assets from an institutional viewpoint?
           • Understanding the most effect strategies for complementing your         • Lifting the lid on the institutional decision-making process

             reinsurance coverage through ILS                                        • Identifying the most commonly-made mistakes while marketing

           • Considerations on structuring catastrophe bonds: Making the choice        policies and funds to institutional clients
             between indemnity, parametric and hybrid bond triggers                  • Considerations on fees, transparency, and what the asset class will

           • Risks, perils and layers best for reinsurance and those best for ILS      have to look like before mainstream institutional participation
             transactions                                                              becomes a reality
           • Comparing ILS with collateralised reinsurance from a capacity and       Speaker to be confirmed – check www.ilseurope.co.uk for
             risk standpoint                                                         updates
           Amer Ahmed, Chief Risk Officer, Allianz

    12.15 Cat Bond Case Study:                                                       Pension Fund Investment Strategies:
           Lakeside Re II Examining the Developments that                            Institutional Best Practices for Gaining Exposure to
           Would Make ILS Instruments Even More Attractive                           the Longevity Asset Class
           from a Sponsor’s Point of View                                            • Identifying the most significant risks of investing in longevity from
           • Understanding the time required to bring a transaction to market          an institutional viewpoint
           • Examining the frictional costs of a transaction                         • Comparing physical and synthetic approaches to longevity

           • Issues surrounding trigger structures                                     investments
           • Exploring the need for improved secondary market liquidity              • Considerations on making the selection between providers, LE

           • The move towards increased transparency about market participants         providers, and other investment partners
           • Can we expect changes to the perils which will be accepted by           • Understanding how smart policy selection can make life settlements

             investors?                                                                an LDI-suitable asset class
           Reto Koller, Head of Reinsurance Recoveries, Zurich                       Thomas Laumont, Chairman, BVDZ
                                                                                     David Rawson McKenzie, Fund Director, Centurion Fund Management
                                                                                     Scott Willkomm, SVP, Coventry
                                                                                     Robin Willi, CIO, Rigi Capital Partners

    13.00 Networking Luncheon Sponsored by

    14.15 Constructing the Perfect Portfolio:                                        Portfolio Construction Techniques:
           Investor Perspectives on the Most Effective ILS                           Considerations on the Most Effective Strategies for
           Diversification Strategies                                                Sourcing, Managing, and Blending a Portfolio of
           • Diversifying by peril, geography, and investment date                   Longevity Risks
           • Identifying the most effective diversification combinations for         • Determining whether to invest synthetically or through the cash market
             conservative, moderate, and high levels of risk tolerance               • Evaluating the importance of sourcing clean collateral, and
           • Fund manager perspectives on new collateral arrangements:                 establishing the clearest indicators that your collateral is clean
             Expressing a preference between treasuries, floating KfW notes, and     • Diversification within the longevity mix: Identifiying the most

             triparty repo                                                             effective combinations of impairment types, LEs, and policy values
           Christophe Fritsch, Head of ILS Team, AXA Investment                      • Understanding the most effective strategies for “blending” life

           Management                                                                  settlements into a portfolio of alternative investments
           Anatol Mueller, Fund Manager, Finter Private Bank                         Franz-Philippe Przybyl, CEO, Berlin Atlantic Capital
           John DeCaro, Co-Founder, Elementum Advisors                               Heinz Kubli, Managing Partner, Fundabilis
           Pete Vloedman, Co-Founder, Anchor Risk Advisors                           Jeremy Leach, Group Managing Director, Managing Partners Ltd

4     +44 (0) 20 7368 9300 •                             www.ilseurope.co.uk
15.00 Afternoon Networking Break

15.45 Parametric Cat Bonds:                                                       The Future of Synthetics:
       Basis Risk and Model Uncertainty for Issuers and                           How Investors in 2015 Will Trade the Longevity
       Investors                                                                  Asset Class
       • Basis risk for issuers:                                                  • Comparing synthetic products with cash investments in the
         • Introducing an analytical framework to evaluate the basis risk of        secondary market
                                                                                  • Lifting the lid on innovations in synthetic products
           parametric cat bonds
         • Quantifying the basis risk reduction benefit achieved by using         • Understanding the most effective strategies for incorporating

           sophisticated optimisation algorithms                                    synthetic longevity exposure into a variety of different investment
         • Identifying critical aspects of basis risk that can be potentially       strategies
                                                                                  • Identifying the most significant developments on the horizon
           overlooked by issuers and their advisors
       • Model uncertainty for investors:                                           regarding the way in which longevity and mortality will be traded
         • Quantifying the level of model uncertainty associated with               by different types of investor
           parametric bonds                                                       Session Reserved for Credit Suisse
         • Outlining an analytical process to systematically differentiate and

           quantify the model uncertainty for different types of parameter
           triggers
       Lixin Zeng, Portfolio Manager, Alpha Cat Fund

16.30 Is “On-Shore” the New Destination for European ILS                          Strategies for Policy Valuation and Managing the
       Funds?                                                                     Changes in Life Expectancy Estimates
       • Understanding the desire for greater regulatory robustness following     • Comparing LE estimates: To what extent are differences between
         the Madoff scandal                                                         the major LE providers converging or diverging?
       • Identifying the most popular new destinations for European ILS           • Monetising LE differences: Determining what different LE values

         funds                                                                      mean for portfolio values
       • Quantifying the trade-off for fund managers in terms of restricted       • Strategies for building LE uncertainty into the policy valuation

         investment strategies and “two-week” liquidity                             process
       • Understanding how the choice of location affects decisions relating      • Considerations on whether investors should have more or less

         to the structure of the fund                                               confidence in current portfolio values
       Luca Albertini, CEO, Leadenhall Capital Partners                           Speaker to be confirmed – check www.ilseurope.co.uk for
                                                                                  updates

17.15 Cocktail Reception

18.30 End of Main Conference Day 1




Main Conference Day 2
Wednesday, April 28, 2010

7.30   Coffee & Registration                                                     9.15   The European Directive for Alternative Investment
                                                                                        Managers:
8.15   Chairman’s Opening Remarks                                                       Understanding the Implications for ILS & Life
                                                                                        Settlement Investors
8.30   Keynote Address: Is the World Becoming a More                                    • Understanding the purpose of the directive
       Dangerous Place?
                                                                                        • Examining timelines and possible variations
                                                                                        • What the directive will mean for the marketing of hedge funds
       A Closer Look at the Findings of the UN’s Mortality                                (including ILS funds) to European clients
       Risk Index                                                                       • Forecasting the longer term implications of the directive on the

       • Examining the factors contributing to the mortality risk index,                  future of the insurance-linked securities space
         including the prevalence of natural disasters, infrastructure for              Speaker to be confirmed – check www.ilseurope.co.uk for
                                                                                        updates
         dealing with them, and varieties in the level of preparedness at
         the country level                                                       10.00 Guest Address: Distributed Computing and the
       • Understanding how mortality risk levels vary along cyclone,                    Future of Climate Modeling:
         earthquake, and flood axes                                                     Lifting the Lid on the World’s Largest Climate
       • Taking a closer look at the relationship between mortality risk
                                                                                        Forecasting Experiment
                                                                                        • Examining the success of climateprediction.net in enlisting the
         levels, economic considerations, and the insurance environment                   combined computing power of over 48,000 global users
         on a country-by-country basis                                                  • A closer look at the experiments themselves, and the climate

       • Dissecting the role of the index in disaster risk reduction efforts              models they’re based upon
                                                                                        • Uncovering the results of the experiments: What does
         internationally, and the possible expansion in the use of
                                                                                          climateprediction.net indicate about the future effects of climate
         insurance-linked securities                                                      change, and what are the implications for insurance-linked
       Assistant Secretary-General Margareta Wahlström, Special                           securities?
       Representative for Disaster Risk Reduction, United Nations                       Dr Myles Allen, Head of Climate Dynamics Group, University of
                                                                                        Oxford

                                                                                 10.45 Morning Networking Break




Sponsors:                                                                                                                                                      5
Concurrent Tracks Begin: Choose Track A (non-life) or Track B (life)

                                  Track A: Non-Life                                                                Track B: Life
    11.30 Why Do Models Disagree?                                                     What European Investors Need to Know About the
         The Peculiar Challenge of Modeling European                                  State of US Life Settlement Regulations
         Windstorms                                                                   • An update on the regulation of life settlements in the United States
         • Examining the most significant sources of disagreement between             • Attitudes of public policy makers concerning the secondary market for
           European windstorm models                                                    life insurance
         • Understanding why models disagree, and what the implications are           • A look back and a look forward about STOLI

           for sponsors of – and investors in – catastrophe bonds                     • Considerations on whether life settlements should be regarded as

         • Identifying weakness in European catastrophe models, and scope               securities transactions
           for further improvements                                                   • Evaluating the possibility of federal oversight: What will this mean for

         • A closer look at the “recharacterisation” process for newly issued           European investment strategies?
           cat bonds                                                                  Michael Freedman, SVP, Government Affairs, Coventry
         Speaker to be confirmed from AIR Worldwide
         John Seo, Managing Principal, Fermat Capital



    12.15 Networking Luncheon

    13.15 Data Transparency:                                                          Evaluating Risk in Life Settlement Funds:
         The Key to Broadening the ILS Investor Base?                                 Managing the Dangers Associated with Longevity,
         • Evaluating current levels of transparency in the pricing and loss          Origination, and Valuation
           estimates for insurance-linked securities                                  • Examining the policy selection process – Safeguarding against insurable
         • Considerations around the availability of data: Who can access it            interest and other potential procurement issues
           and under what circumstances?                                              • The valuation process – How this can help to mitigate extended

         • Web-based solutions for enhancing levels of transparency and                 longevity risk in a life settlement portfolio
           disclosure                                                                 • Funds’ legal structure – Choosing the right structure in the right

         • Determining optimal levels of transparency for the industry:                 jurisdiction (Ireland, Luxembourg) to help mitigate tax issues such as
           Preserving proprietary information while expanding the investor base         the potential impact of the recent IRS rulings
         Beat Holliger, Managing Director, Munich Re                                  • Liquidity risk – Using synthetics to manage liquidity including how to

         Karsten Bromann, Managing Partner & Chief Risk Officer, Solidum                hedge liquidity and currency/credit risks associated with a life
         Partners                                                                       settlement portfolio
         Michael Stahel, Head of Insurance-Linked Investments, Clariden Leu           David Rawson McKenzie, Fund Director, Centurion Fund
                                                                                      Management

    14.00 Scanning the Horizon:                                                       Longevity Swaps:
         New Risks, New Product Structures, New                                       An Effective Risk Management Tool for Pension
         Geographies, New Investors                                                   Funds?
         • Examining the growth of interest in securitising non-traditional risks:    • Understanding the structure of a conventional longevity swap:
           Motor loss, satellite impact, medical malpractice, extreme mortality         Exchanging fixed payments to the swap provider in exchange for
         • Evaluating new ways to transfer risks through the capital markets            coverage of pension payments beyond a certain age
         • Considerations around future product structures and trading                • Identifying the risks associated with entering into a longevity swap

           mechanisms                                                                   from the pension point of view
         • Overcoming the barriers to growth in new regions                              • Credit risk of the counterparty

         Dr. Andreas Müller, Head of Origination, Distribution & ILS                     • Longevity risk miscalculation

         Investments, Munich Re                                                       • Overcoming the challenges involved with selecting a longevity swap

         Luca Albertini, CEO, Leadenhall Capital Partners                               counterparty
         Jean-Louis Monnier, Head of ILS Europe, Swiss Re                             • Creating swap documentation that incorporates some measure of

                                                                                        flexibility, including (if possible) an early exit clause
                                                                                      Marcel Grandi, Senior Portfolio Manager, ILS, Credit Suisse Asset
                                                                                      Management
                                                                                      Robin Willi, CIO, Rigi Capital Partners

    15.00 End of Conference
                                                                               “I think that w
                                                                                                 e are on cours
                                                                               the next few ye                  e for 25% ann
              “Today, sponsors                                                                  ars.The conditi                 ual growth over
                                      with increased                          is the overall po                  ons are right fo
              awareness of cred                                                                  tential for ILS                  r this. Not only
                                   it exposure value                          investors seem                      activity high, bu
             the collateralized, m                                                             to be synchron                        t issuers and
                                     ulti-year capacity                      for the first tim                  ized in their pl
             from an alternat                                                                  e in many year                    ans for growth
                                 ive source, while                                                             s.”
            investors are at                                                 John Seo, Man
                                  tracted to this                                               aging Princip
            diversifying asset                                                                                   al, Fer mat C
                                     class and have                                                                              apital, 2009
            achieved less volat
                                 ile returns relative
           to other sectors – de
                                    spite the difficult
           market environm
                               ent. The financial                                                                        or forum for ILS
           cr isis impacts on                                           “In absence of an official industry body
                                 ILS have largely                                                                           important forums
          been resolved and                                             professionals, quality conferences and events are
                               the ILS market has                                                                          about our markets.
          recovered quickly,                                            for all market participants to discuss hot topics
                                 and is equipped                                                                          essing, there is a lot
          with a strong deal                                            With the market transformations we are witn
                               pipeline.                                                                                re, will find it useful
                                                                        to discuss, and all layers, more than ever befo
         Martin Bisping,                                                                                                te.”
         Risk Transformat
                           Head of Non-L
                                        ife                             to be able to participate and attend the deba
                          ion, Swiss Re                                                                                     Partners
                                                                         Luca Albertini, CEO, Leadenhall Capital


6     +44 (0) 20 7368 9300 •                            www.ilseurope.co.uk
About Our Sponsors
                      For over 25 years, Coventry has been redefining                       structured products with high yield and low correlation to market in its
                      insurance. Founded in 1982, Coventry began as an                      investment funds, Centurion is rapidly expanding its offerings by moving
                      insurance marketing, product development and policy                   into both the micro-longevity and macro-longevity spaces. Website:
administration firm. Known as a leading innovator in the industry, Coventry                 www.centurionfundmanagers.com
assisted insurance carriers in the development of product, software and
distribution. It established itself as one of the top corporate life insurance                          Established in 1971 the Bermuda Stock Exchange (BSX) is now
companies in America during the 1990s, servicing over 70,000 policies for                               the leading fully electronic offshore securities market. The
its corporate clients. In 1998, Coventry created the secondary market for                               Exchange specializes in listing and trading of capital market
life insurance in the United States and coined the term “life settlement”.                              instruments such as equities, debt issues, funds, hedge funds,
As the market leader, Coventry has structured and financed transactions                                 derivative warrants and Insurance Linked Securities. The BSX is an
representing more than $25 billion of death benefit and has been a key                      Approved Stock Exchange status under Australia's Foreign Investment Fund
driver behind the market’s rapid growth. Today, Coventry is the largest                     (FIF) taxation rules, Designated Investment Exchange status by the UK's
purchaser and servicer in the longevity and mortality market, employing                     Financial Services Authority and in December of 2007 was granted
more than 200 people. Based in Pennsylvania, Coventry was the first                         Recognised Stock Exchange by the UK HM Revenue and Customs. In
secondary market firm to earn Standard and Poor’s highest servicer ranking                  February 2008 the BSX became a member of America's Central Securities
(2004 and reaffirmed in 2006). In 2005, Coventry was first in revenue in                    Depository Association. tel: 441-292-7212. Website: www.bsx.com
the insurance category of the annual Inc. 500 listing of the fastest growing
private companies in America. Website: www.coventry.com                                                                      AIR Worldwide Corporation (AIR) is
                                                                                                                             the scientific leader and most respected
                    Centurion Fund Managers, the fund management                                                             provider of risk modeling software and
                    division of Centurion, was established in 1999 and                      consulting services. AIR founded the catastrophe modeling industry in
                    launched its first life settlement fund, Defined Return                 1987 and today models the risk from natural catastrophes and terrorism in
Fund, in 2002. Since then, Centurion has launched two additional life                       more than 50 countries. More than 400 insurance, reinsurance, financial,
settlement funds, Argent Fund and Life Settlement Strategy Fund, listed                     corporate and government clients rely on AIR software and services for
respectively on the Luxembourg Euro MTF and the Channel Islands Stock                       catastrophe risk management, insurance-linked securities, detailed site-
Exchange. Today, with over $400m under management, Centurion’s                              specific wind and seismic engineering analyses, and property replacement
longevity funds have consistently delivered stable returns to our investors                 cost valuation. AIR is a member of the ISO family of companies and is
over the past 7 years. As pioneer in the longevity asset class, Centurion                   headquartered in Boston with additional offices in North America, Europe
was the first fund manager to include longevity swaps in its investment                     and Asia. Website: www.air-worldwide.com
portfolio. Recognising the need to offer a more diversified portfolio of




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setting aside a limited number of event sponsorships and exhibit spaces – all of which are tailored to assist your organisation in creating a platform to
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2nd Insurance Linked Securities Summit Europe

  • 1. Register by 26th February and SAVE up to £1,497! 2nd Insurance Linked Securities Summit Europe TM 26-28 April 2010 | London, UK Delivering Superior Returns through Strategic Investments in Cat Bonds, Life Settlements and other Insurance-Linked Securities It was very well attended and the discussions were fascinating. The organization of the event was perfect - Urs Ramseier, Head of Insurance-Linked Securities, Horizon 21 Alternative Investments 40+ industry-leading speakers, including the following thought- leaders, fund managers, and investors: Peter Jan de Koning Reto Koller Jeremy Leach John DeCaro Robin Willi Senior Portfolio Head of Reinsurance Group Managing Co-Founder CIO Manager Recoveries Director Elementum Rigi Capital Partners PGGM Zurich Managing Partners Ltd Advisors Dr. Myles Allen Thomas Hess John Seo Christophe Fritsch Thomas Laumont Head of Climate Chief Economist Managing Principal Head of ILS Team Chairman Dynamics Group Swiss Re Fermat Capital LLC AXA Investment BVDZ University of Oxford Management New for 2010: Keynote Speakers: • Dedicated tracks for the life and non-life sides of the market “A Vision of the ILS Market in 2015” Ulrich Wallin • The effect of Solvency II on cat bond issuance CEO • Fund manager perspectives on ILS diversification strategies Hannover Re • The new transparency imperative for ILS and life settlement funds • Pension fund perspectives on the ILS asset allocation process “The UN’s Mortality Risk Index” Assistant Secretary-General • The increasing role of indices in European risk transfer Margareta Wahlström • The implications of US life settlements regulations for European Special Representative for Disaster Risk investors Reduction United Nations • The special challenge of modeling European windstorms peakers 0% of sr 2010! Sponsors: 6 new fo +44 (0) 20 7368 9300 • www.ilseurope.co.uk
  • 2. An outstanding line- up of investors, fund managers and 2nd industry experts: Insurance Linked Ulrich Wallin, CEO, Hannover Re – New! Assistant Secretary-General Margareta Securities Wahlström, Special Representative for Disaster Risk Reduction, United Summit Europe TM Nations – New! Peter Jan de Koning, Senior Portfolio Manager, PGGM – New! Dear Colleague, Reto Koller, Head of Reinsurance Recoveries, Zurich – New! Welcome to IQPC’s 2nd ILS Summit Thomas Hess, Chief Economist, Europe - the most important date European investors interested in the of the year for Swiss Re – New! returns and diversification benefits securities and life settlements. of insurance-linked Amer Ahmed, Chief Risk Officer, Allianz Robin Willi, Chief Investment Officer, Rigi 2010 promises to be an exciting year Capital Partners for the market. On the non-life side securities fared well in 2009, with , insurance-linked around $3billion issued in the mids John Seo, Managing Principal, Fermat challenging economic environment. t of an extremely Going into 2010 the stage is set for Capital LLC volume of new issuance and the eme growth, with the rgence of new investors expected to Jeremy Leach, Group Managing Director, In Europe, the development of EU-w increase in tandem. ide market loss indices looks set to Managing Partners Ltd – New! European ILS and ILWs by enabling expand the market in new transparency and more standard Jean-Michel Paul, CEO, Acheron Most commentators predict a total ised instruments. of $4-6billion of new issuances over Capital – New! year. the course of the Forrest Gilman, Founder, Last Wave Capital – New! Several challenges still remain, how ever. Firstly, although transparency Christophe Fritsch, Head of ILS Team, are still a number of areas where is improving, there it lags behind other asset classes – AXA Investment Management – New! insurance-linked instruments, for exam in the pricing of ple, and in the formulation and sele Pete Vloedman, Co-Founder, Anchor estimates. Greater transparency in ction of loss these and other areas will be nece Risk Advisors – New! dramatic improvement in the willi ssary before we see a ngness of institutional investors to Dr Myles Allen, Head of Climate allocate capital. On the life side, the US regulatory Dynamics Group, University of landscape continues to evolve rapi Oxford – New! area of concern for European inve dly and remains an stors. The shifting dynamics between John DeCaro, Co-Founder, Elementum NCOIL regulatory paradigms, com the NAIC and bined with the possibility of SEC and Advisors – New! oversight, are of critical importance /or other federal to the willingness of European inve Anatol Mueller, Fund Manager, Finter capital. Innovation on the life side stors to allocate remains strong, however, with new Private Bank – New! synthetics, fusion products and shar developments in i’ah compliant longevity investments the envelope and broaden the inve continuing to push Luca Albertini, CEO, Leadenhall stor base. Capital Partners These and many other critical issue Franz-Philippe Przybyl, CEO, Berlin s will be explored and debated at Europe, providing investors with the the 2nd ILS Summit Atlantic Capital information they need to invest effe and with confidence. ctively, profitably, Karsten Bromann, Managing Partner & Chief Risk Officer, Solidum Partners Kind regards, Niklaus Hilti, Head of Insurance-Linked Strategies, Credit Suisse Asset PS: Don miss pre-conference ’t Management Heinz Kubli, Managing Partner, workshops led by John Seo Fundabilis Marcel Grandi, Senior Portfolio Manager, Toby Donovan and Robin Willi - see page 3 ILS, Credit Suisse Asset Management Program Director Thomas Laumont, Chairman, Toby.Donovan@iqpc.com for more details BVDZ – New! Beat Holliger, Managing Director, Munich Re Scott Willkomm, SVP, Business Who Will Attend: Development, Coventry ■ 7% Pension Funds & Institutional Investors Michael Freedman, SVP, Government ■ 28% Hedge Funds, Asset Management Firms Affairs, Coventry & Other Buyside ■ 18% Insurance and Reinsurance Companies Dr. Andreas Müller, Head of Origination, ■ 12% Banks Distribution & ILS Investments, Munich Re ■ 12% Life Settlement Companies Michael Stahel, Head of Insurance-Linked ■ 8% Law Firms Investments, Clariden Leu ■ 5% LE Provers & Underwriters David Rawson McKenzie, Fund Director, ■ 5% Modeling Agencies Centurion Fund Management ■ 5% Other 2 +44 (0) 20 7368 9300 • www.ilseurope.co.uk
  • 3. Pre-Conference Workshops Monday, 26 April 2010 “The conference was great and I learned a lot of new things, especially within the pre-conference workshops! I think you did a fantastic job in pulling everything together, the speakers had excellent experience and knowledge. Keep up the good work!” - Sun-Siang Liew, Senior Analyst, Validus Research 9.30 – 12.00 (Registration at 9.00) A Optimizing a Portfolio of Catastrophe Risks John Seo What you will learn: Managing Principal • Achieving visibility over the full spectrum of diversification strategies Fermat Capital • Diversification by asset class (equity, debt, commodities & ILS) • Diversification by subsectors (wind, quake, life) and geographical regions For investors new to catastrophe risks, there are bewildering array of (US, Japan, Europe, etc) different risks, regions, sourcing channels and maturity levels • Diversification by sourcing channels (cat bonds, ILWs, sidecars, exchange- available for portfolio diversification. But what does the “optimal” traded products) allocation strategy look like, and how should investors align their • Diversification by maturity (<1 year, 2-5 years, >5 years) risk/reward tolerance with the many options that are available? Attending this 2-hour long workshop – led by ILS rainmaker John How you will benefit: Seo – will provide you with a detailed knowledge of cat risk • Understand how to balance diversity levels with your required risk-reward portfolio creation, making you a better investor in this exciting asset tolerance class. • Achieve visibility over the risk metrics for each region and peril combination • Overcome the pricing difficulties of infrequent historical events 13.00 – 15.30 (Registration at 12.30) B Risk Management for Life Settlement Portfolios: Uncovering the Secrets to Investing with Confidence Robin Willi What you will learn: Chief Investment Officer • A closer look at the policy selection process – safeguarding against insurable Rigi Capital Partners interest and other potential procurement issues • Understand how the valuation process can help to mitigate extended Investing in life settlements is a complicated business, with a longevity risk in a life settlement portfolio number of critical risks that need to be addressed by the investor in • Determine the right legal structure for the right jurisdiction (Ireland, order to maximize returns. This workshop will provide investors, Luxembourg) to help mitigate tax issues such as the potential impact of the fund managers, and others involved in the life settlements space recent IRS rulings with the tools they need to manage and reduce risk, whether it’s the • Examine synthetic strategies for managing liquidity risk, including how to risk of longevity, the risk of incorrect valuation, the risk of sub- hedge liquidity and currency/credit risks associated with a life settlement optimal policy selection, as well as legal and liquidity risks. An portfolio unmissable workshop for those seeking to invest with confidence! How you will benefit: • Invest in confidence • Get a comprehensive understanding of the risks involved with investing in life settlements before you commit capital • Walk away with the most cost-effective strategies for reducing the riskiness of your life settlement investments 16.00 – 18.30 (Registration at 15.30) C Making Better Use of Catastrophe Models Workshop leader to be confirmed What you will learn: – See www.ilseurope.co.uk for updates • Understand how catastrophe models combine actuarial science, engineering, seismology, meteorology and expert opinion Catastrophe models are a critical part of the puzzle for investors in • Examine the interrelationship between hazard, inventory and vulnerability non-life ILS, but there are few outside the modeling agencies values within cat models themselves who understand exactly how the models are designed. • Gain a better sense of the ways catastrophe models are used in the In this workshop, take a look “under the hood” of some of the structuring – and choice – of cat bond triggers world’s most important and popular catastrophe models, and learn how to make better use of models in your investment calculations. How you will benefit: • Learn what the implications are of discrepancies between different catastrophe models • Become a more sophisticated cat bond investor by better understanding the relationship between modeled values and cat bond pricing Sponsors: 3
  • 4. Main Conference Day 1 Tuesday, 27 April 2010 The quality of attendees was very high – a sign that this market is growing!” - Albert Pinzon, Member, Cozen O’Connor Coffee & Registration Opening Keynote Address: ILS and the of 7.15 9.15 A Vision S! Future of Insurance Risk Transfer: Future IL 8.15 Chairman’s Opening Remarks A Vision of the Market in 2015 • Examining the changing paradigm for insurance risk transfer in 8.30 Panel: “From Interest to Allocation”: light of the global economic recovery Investor Perspectives on the Attractiveness of ILS • Considerations on the future of insurance-linked securities and and the Sources of Future Liquidity other forms of alternative risk transfer • A closer look at the way in which pension funds and • Forecasting the implications of climate change and extreme endowments make investment decisions weather patterns on the market for insurance-linked securities • Identifying the most attractive characteristics of ILS from an • Defining the future role of the global reinsurance industry in the institutional standpoint transfer, mitigation, and securitisation of risk • Quantifying the non-correlation benefit Ulrich Wallin, CEO, Hannover Re • Incorporating ILS into an institutional portfolio: Determining whether your investment strategy requires a dedicated 10.00 Keynote Address: Transferring Risks to the Capital investment unit Markets: The Increasing Role of Indices • Considerations on the manager selection process • Examining the benefits of index-linked investments for re/insurers • Risk and reward: Institutional considerations on catastrophe risk, and investors credit risk, and collateral management • Understanding the connection between indices, transparency and Peter Jan De Koning, Senior Portfolio Manager, PGGM securitisation Jean-Michel Paul, CEO, Acheron Capital • Tracking the expansion of index-linked risk transfer beyond John Seo, Managing Principal, Fermat Capital catastrophe risks • Evaluating the growth prospects for index-linked instruments in Europe and beyond Thomas Hess, Chief Economist, Swiss Re 10.45 Morning Networking Break Concurrent Tracks Begin: Choose Track A (non-life) or Track B (life) Track A: Non-Life Track B: Life 11.30 The Future of European Issuance: A Pension Fund Perspective: The Ongoing Role of ILS as an Effective Risk How Longevity-Based Assets are Really Evaluated Management Tool Within Institutional Boardrooms • Identifying the advantages and disadvantages of insurance-linked • A look at the asset class from the outside: How appealing are securities compared with traditional reinsurance longevity-based assets from an institutional viewpoint? • Understanding the most effect strategies for complementing your • Lifting the lid on the institutional decision-making process reinsurance coverage through ILS • Identifying the most commonly-made mistakes while marketing • Considerations on structuring catastrophe bonds: Making the choice policies and funds to institutional clients between indemnity, parametric and hybrid bond triggers • Considerations on fees, transparency, and what the asset class will • Risks, perils and layers best for reinsurance and those best for ILS have to look like before mainstream institutional participation transactions becomes a reality • Comparing ILS with collateralised reinsurance from a capacity and Speaker to be confirmed – check www.ilseurope.co.uk for risk standpoint updates Amer Ahmed, Chief Risk Officer, Allianz 12.15 Cat Bond Case Study: Pension Fund Investment Strategies: Lakeside Re II Examining the Developments that Institutional Best Practices for Gaining Exposure to Would Make ILS Instruments Even More Attractive the Longevity Asset Class from a Sponsor’s Point of View • Identifying the most significant risks of investing in longevity from • Understanding the time required to bring a transaction to market an institutional viewpoint • Examining the frictional costs of a transaction • Comparing physical and synthetic approaches to longevity • Issues surrounding trigger structures investments • Exploring the need for improved secondary market liquidity • Considerations on making the selection between providers, LE • The move towards increased transparency about market participants providers, and other investment partners • Can we expect changes to the perils which will be accepted by • Understanding how smart policy selection can make life settlements investors? an LDI-suitable asset class Reto Koller, Head of Reinsurance Recoveries, Zurich Thomas Laumont, Chairman, BVDZ David Rawson McKenzie, Fund Director, Centurion Fund Management Scott Willkomm, SVP, Coventry Robin Willi, CIO, Rigi Capital Partners 13.00 Networking Luncheon Sponsored by 14.15 Constructing the Perfect Portfolio: Portfolio Construction Techniques: Investor Perspectives on the Most Effective ILS Considerations on the Most Effective Strategies for Diversification Strategies Sourcing, Managing, and Blending a Portfolio of • Diversifying by peril, geography, and investment date Longevity Risks • Identifying the most effective diversification combinations for • Determining whether to invest synthetically or through the cash market conservative, moderate, and high levels of risk tolerance • Evaluating the importance of sourcing clean collateral, and • Fund manager perspectives on new collateral arrangements: establishing the clearest indicators that your collateral is clean Expressing a preference between treasuries, floating KfW notes, and • Diversification within the longevity mix: Identifiying the most triparty repo effective combinations of impairment types, LEs, and policy values Christophe Fritsch, Head of ILS Team, AXA Investment • Understanding the most effective strategies for “blending” life Management settlements into a portfolio of alternative investments Anatol Mueller, Fund Manager, Finter Private Bank Franz-Philippe Przybyl, CEO, Berlin Atlantic Capital John DeCaro, Co-Founder, Elementum Advisors Heinz Kubli, Managing Partner, Fundabilis Pete Vloedman, Co-Founder, Anchor Risk Advisors Jeremy Leach, Group Managing Director, Managing Partners Ltd 4 +44 (0) 20 7368 9300 • www.ilseurope.co.uk
  • 5. 15.00 Afternoon Networking Break 15.45 Parametric Cat Bonds: The Future of Synthetics: Basis Risk and Model Uncertainty for Issuers and How Investors in 2015 Will Trade the Longevity Investors Asset Class • Basis risk for issuers: • Comparing synthetic products with cash investments in the • Introducing an analytical framework to evaluate the basis risk of secondary market • Lifting the lid on innovations in synthetic products parametric cat bonds • Quantifying the basis risk reduction benefit achieved by using • Understanding the most effective strategies for incorporating sophisticated optimisation algorithms synthetic longevity exposure into a variety of different investment • Identifying critical aspects of basis risk that can be potentially strategies • Identifying the most significant developments on the horizon overlooked by issuers and their advisors • Model uncertainty for investors: regarding the way in which longevity and mortality will be traded • Quantifying the level of model uncertainty associated with by different types of investor parametric bonds Session Reserved for Credit Suisse • Outlining an analytical process to systematically differentiate and quantify the model uncertainty for different types of parameter triggers Lixin Zeng, Portfolio Manager, Alpha Cat Fund 16.30 Is “On-Shore” the New Destination for European ILS Strategies for Policy Valuation and Managing the Funds? Changes in Life Expectancy Estimates • Understanding the desire for greater regulatory robustness following • Comparing LE estimates: To what extent are differences between the Madoff scandal the major LE providers converging or diverging? • Identifying the most popular new destinations for European ILS • Monetising LE differences: Determining what different LE values funds mean for portfolio values • Quantifying the trade-off for fund managers in terms of restricted • Strategies for building LE uncertainty into the policy valuation investment strategies and “two-week” liquidity process • Understanding how the choice of location affects decisions relating • Considerations on whether investors should have more or less to the structure of the fund confidence in current portfolio values Luca Albertini, CEO, Leadenhall Capital Partners Speaker to be confirmed – check www.ilseurope.co.uk for updates 17.15 Cocktail Reception 18.30 End of Main Conference Day 1 Main Conference Day 2 Wednesday, April 28, 2010 7.30 Coffee & Registration 9.15 The European Directive for Alternative Investment Managers: 8.15 Chairman’s Opening Remarks Understanding the Implications for ILS & Life Settlement Investors 8.30 Keynote Address: Is the World Becoming a More • Understanding the purpose of the directive Dangerous Place? • Examining timelines and possible variations • What the directive will mean for the marketing of hedge funds A Closer Look at the Findings of the UN’s Mortality (including ILS funds) to European clients Risk Index • Forecasting the longer term implications of the directive on the • Examining the factors contributing to the mortality risk index, future of the insurance-linked securities space including the prevalence of natural disasters, infrastructure for Speaker to be confirmed – check www.ilseurope.co.uk for updates dealing with them, and varieties in the level of preparedness at the country level 10.00 Guest Address: Distributed Computing and the • Understanding how mortality risk levels vary along cyclone, Future of Climate Modeling: earthquake, and flood axes Lifting the Lid on the World’s Largest Climate • Taking a closer look at the relationship between mortality risk Forecasting Experiment • Examining the success of climateprediction.net in enlisting the levels, economic considerations, and the insurance environment combined computing power of over 48,000 global users on a country-by-country basis • A closer look at the experiments themselves, and the climate • Dissecting the role of the index in disaster risk reduction efforts models they’re based upon • Uncovering the results of the experiments: What does internationally, and the possible expansion in the use of climateprediction.net indicate about the future effects of climate insurance-linked securities change, and what are the implications for insurance-linked Assistant Secretary-General Margareta Wahlström, Special securities? Representative for Disaster Risk Reduction, United Nations Dr Myles Allen, Head of Climate Dynamics Group, University of Oxford 10.45 Morning Networking Break Sponsors: 5
  • 6. Concurrent Tracks Begin: Choose Track A (non-life) or Track B (life) Track A: Non-Life Track B: Life 11.30 Why Do Models Disagree? What European Investors Need to Know About the The Peculiar Challenge of Modeling European State of US Life Settlement Regulations Windstorms • An update on the regulation of life settlements in the United States • Examining the most significant sources of disagreement between • Attitudes of public policy makers concerning the secondary market for European windstorm models life insurance • Understanding why models disagree, and what the implications are • A look back and a look forward about STOLI for sponsors of – and investors in – catastrophe bonds • Considerations on whether life settlements should be regarded as • Identifying weakness in European catastrophe models, and scope securities transactions for further improvements • Evaluating the possibility of federal oversight: What will this mean for • A closer look at the “recharacterisation” process for newly issued European investment strategies? cat bonds Michael Freedman, SVP, Government Affairs, Coventry Speaker to be confirmed from AIR Worldwide John Seo, Managing Principal, Fermat Capital 12.15 Networking Luncheon 13.15 Data Transparency: Evaluating Risk in Life Settlement Funds: The Key to Broadening the ILS Investor Base? Managing the Dangers Associated with Longevity, • Evaluating current levels of transparency in the pricing and loss Origination, and Valuation estimates for insurance-linked securities • Examining the policy selection process – Safeguarding against insurable • Considerations around the availability of data: Who can access it interest and other potential procurement issues and under what circumstances? • The valuation process – How this can help to mitigate extended • Web-based solutions for enhancing levels of transparency and longevity risk in a life settlement portfolio disclosure • Funds’ legal structure – Choosing the right structure in the right • Determining optimal levels of transparency for the industry: jurisdiction (Ireland, Luxembourg) to help mitigate tax issues such as Preserving proprietary information while expanding the investor base the potential impact of the recent IRS rulings Beat Holliger, Managing Director, Munich Re • Liquidity risk – Using synthetics to manage liquidity including how to Karsten Bromann, Managing Partner & Chief Risk Officer, Solidum hedge liquidity and currency/credit risks associated with a life Partners settlement portfolio Michael Stahel, Head of Insurance-Linked Investments, Clariden Leu David Rawson McKenzie, Fund Director, Centurion Fund Management 14.00 Scanning the Horizon: Longevity Swaps: New Risks, New Product Structures, New An Effective Risk Management Tool for Pension Geographies, New Investors Funds? • Examining the growth of interest in securitising non-traditional risks: • Understanding the structure of a conventional longevity swap: Motor loss, satellite impact, medical malpractice, extreme mortality Exchanging fixed payments to the swap provider in exchange for • Evaluating new ways to transfer risks through the capital markets coverage of pension payments beyond a certain age • Considerations around future product structures and trading • Identifying the risks associated with entering into a longevity swap mechanisms from the pension point of view • Overcoming the barriers to growth in new regions • Credit risk of the counterparty Dr. Andreas Müller, Head of Origination, Distribution & ILS • Longevity risk miscalculation Investments, Munich Re • Overcoming the challenges involved with selecting a longevity swap Luca Albertini, CEO, Leadenhall Capital Partners counterparty Jean-Louis Monnier, Head of ILS Europe, Swiss Re • Creating swap documentation that incorporates some measure of flexibility, including (if possible) an early exit clause Marcel Grandi, Senior Portfolio Manager, ILS, Credit Suisse Asset Management Robin Willi, CIO, Rigi Capital Partners 15.00 End of Conference “I think that w e are on cours the next few ye e for 25% ann “Today, sponsors ars.The conditi ual growth over with increased is the overall po ons are right fo awareness of cred tential for ILS r this. Not only it exposure value investors seem activity high, bu the collateralized, m to be synchron t issuers and ulti-year capacity for the first tim ized in their pl from an alternat e in many year ans for growth ive source, while s.” investors are at John Seo, Man tracted to this aging Princip diversifying asset al, Fer mat C class and have apital, 2009 achieved less volat ile returns relative to other sectors – de spite the difficult market environm ent. The financial or forum for ILS cr isis impacts on “In absence of an official industry body ILS have largely important forums been resolved and professionals, quality conferences and events are the ILS market has about our markets. recovered quickly, for all market participants to discuss hot topics and is equipped essing, there is a lot with a strong deal With the market transformations we are witn pipeline. re, will find it useful to discuss, and all layers, more than ever befo Martin Bisping, te.” Risk Transformat Head of Non-L ife to be able to participate and attend the deba ion, Swiss Re Partners Luca Albertini, CEO, Leadenhall Capital 6 +44 (0) 20 7368 9300 • www.ilseurope.co.uk
  • 7. About Our Sponsors For over 25 years, Coventry has been redefining structured products with high yield and low correlation to market in its insurance. Founded in 1982, Coventry began as an investment funds, Centurion is rapidly expanding its offerings by moving insurance marketing, product development and policy into both the micro-longevity and macro-longevity spaces. Website: administration firm. Known as a leading innovator in the industry, Coventry www.centurionfundmanagers.com assisted insurance carriers in the development of product, software and distribution. It established itself as one of the top corporate life insurance Established in 1971 the Bermuda Stock Exchange (BSX) is now companies in America during the 1990s, servicing over 70,000 policies for the leading fully electronic offshore securities market. The its corporate clients. In 1998, Coventry created the secondary market for Exchange specializes in listing and trading of capital market life insurance in the United States and coined the term “life settlement”. instruments such as equities, debt issues, funds, hedge funds, As the market leader, Coventry has structured and financed transactions derivative warrants and Insurance Linked Securities. The BSX is an representing more than $25 billion of death benefit and has been a key Approved Stock Exchange status under Australia's Foreign Investment Fund driver behind the market’s rapid growth. Today, Coventry is the largest (FIF) taxation rules, Designated Investment Exchange status by the UK's purchaser and servicer in the longevity and mortality market, employing Financial Services Authority and in December of 2007 was granted more than 200 people. Based in Pennsylvania, Coventry was the first Recognised Stock Exchange by the UK HM Revenue and Customs. In secondary market firm to earn Standard and Poor’s highest servicer ranking February 2008 the BSX became a member of America's Central Securities (2004 and reaffirmed in 2006). In 2005, Coventry was first in revenue in Depository Association. tel: 441-292-7212. Website: www.bsx.com the insurance category of the annual Inc. 500 listing of the fastest growing private companies in America. Website: www.coventry.com AIR Worldwide Corporation (AIR) is the scientific leader and most respected Centurion Fund Managers, the fund management provider of risk modeling software and division of Centurion, was established in 1999 and consulting services. AIR founded the catastrophe modeling industry in launched its first life settlement fund, Defined Return 1987 and today models the risk from natural catastrophes and terrorism in Fund, in 2002. Since then, Centurion has launched two additional life more than 50 countries. More than 400 insurance, reinsurance, financial, settlement funds, Argent Fund and Life Settlement Strategy Fund, listed corporate and government clients rely on AIR software and services for respectively on the Luxembourg Euro MTF and the Channel Islands Stock catastrophe risk management, insurance-linked securities, detailed site- Exchange. Today, with over $400m under management, Centurion’s specific wind and seismic engineering analyses, and property replacement longevity funds have consistently delivered stable returns to our investors cost valuation. AIR is a member of the ISO family of companies and is over the past 7 years. As pioneer in the longevity asset class, Centurion headquartered in Boston with additional offices in North America, Europe was the first fund manager to include longevity swaps in its investment and Asia. Website: www.air-worldwide.com portfolio. Recognising the need to offer a more diversified portfolio of SPONSORSHIP AND EXHIBITION OPPORTUNITIES Sponsorships and exhibits are excellent opportunities for your company to showcase its products and services to high-level, targeted decision-makers attending the 2nd ILS Summit Europe. IQPC and Finance IQ help companies like yours achieve important sales, marketing and branding objectives by setting aside a limited number of event sponsorships and exhibit spaces – all of which are tailored to assist your organisation in creating a platform to maximise its exposure at the event. For more information on sponsoring or exhibiting at the 2nd ILS Summit Europe, please contact Mario Matulich at +1 212-885-2719 or sponsorship@iqpc.com. Registration Information Pricing Details for making payment by Direct Transfer: (Please quote 17093.003 with remittance advice) Register by Register by Standard 26 February 2010 26 March 2010 Price IQPC Bank details: HSBC Bank lue! Best Va Sort Code: 40 38 18 All Access Pass - Account no: 51304143 includes main conference (save £1,497) (save £1,197) (save £897) IBAN No: GB59 MIDL 4038 1851 3041 43 and all 3 workshops £1,399 + VAT £1,699 + VAT £1,999 + VAT BIC: MIDLGB2112V Account name: International Quality & Productivity Centre Ltd Conference Only (save £400) (save £200) £999 + VAT £1,199 + VAT £1,399 + VAT Payment Policy: Payment is due in full at the time of registration and includes lunches, refreshments and detailed conference Workshop Only £499 + VAT £499 + VAT £499 + VAT materials. Your registration will not be confirmed until payment is received and may be subject to cancellation. *UK VAT is charged at 17.5% and will be assessed and added to the total amount due. For IQPC’s Cancellation, Postponement and Substitution UK VAT Reg No GB799225967 Policy, please visit www.iqpc.com/cancellation SPECIAL DISCOUNTS AVAILABLE: Venue: Venue is to be announced. Please check A limited number of discounts are available for the non-profit sector, government organizations and www.ilseurope.co.uk for updates and announcements. academia. For more information, please contact customer service at +44 (0)20 7368 9300. For information on team discounts, please also contact IQPC customer service at +44 (0)20 7368 9300. Only one discount Special Dietary Needs: If you have a dietary restriction, please contact may be applied per registrant. **Only one discount is applicable per person. Customer Service at +44 (0)20 7368 9300 to discuss your specific needs. In order to qualify for discounts, bookings must be received with payment by the early bird dates. ©2010 IQPC. All Rights Reserved. The format, design, content and arrangement of this brochure constitute a trademark of IQPC. PAYMENT: Unauthorized reproduction will be actionable under the Lanham Act Note: Any registrations not accompanied by immediate payment will be subject to a £49 (plus VAT) and common law principles. processing fee. Make cheques payable in British Pounds to: IQPC Ltd. Media Partners Sponsors: 7
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