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INSURANCE‐LINKED SECURITIES,  REINSURANCE,  RISK 
MANAGEMENT  AND  INSURANCE RISK ANALYSIS 

BIBLIOGRAPHY 
Extensive reference source on insurance‐linked securities,  reinsurance, 
insurance,  analysis of insurance risk,  management of portfolios of 
insurance risk,  insurance catastrophe modeling,  construction and 
optimization of insurance risk portfolios,  cat bonds,  reinsurance 
structures,  risk accumulation,  risk measures in insurance and reinsurance,  
enterprise risk management for insurance and reinsurance companies,  
regulatory arbitrage in insurance and reinsurance,  direct and indirect 
investment in insurance and reinsurance risk,  use of actuarial analytical 
tools,  risk and return tradeoffs,  risk‐based capital,  stochastic analysis,  
and global trends in insurance, reinsurance and capital markets 

Taken from Alex Krutov,  Investing in Insurance Risk  (Insurance‐Linked 
Securities  –  A Practitioner’s Perspective),  Risk Books,  London,  2011 

 

> Most comprehensive 

> Will soon require an update 

 

Compliant with DMCA criteria 
References


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Achaerf, A., 2002, “Local Search Techniques for Constrained Portfolio Selection Problems”,
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         Blake, D., A. J. G. Cairns and K. Dowd, 2006, “Living with Mortality: Longevity Bonds and
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Cairns, A. J. G., D. Blake, K. Dowd, G. D. Coughlan, and M. Khalaf-Allah, 2008, “Mortality
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Cairns, A., 2009, “The Government is Planning to Raise the Age of Retirement ... but are Scots
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INVESTING IN INSURANCE RISK


         Campbell, K. and W. Keogh, 2009, “Understanding of Earthquake Risk Improving
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         CFA Institute, 2006, Global Investment Performance Standards (GIPS) Handbook (2nd Ed.),
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         Chacko, G., P. Hecht, V. Dessain, A. Sjoman and A. J. Plotkin, 2004, “Bank Leu’s Prima Cat
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         Chance, D., 2004, “Default Risk as an Option”, Financial Engineering News Magazine, 38
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         Chen, H. and S. Cox, 2009, “Modeling Mortality with Jumps: Applications to Mortality
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         Chen, S.-H., 1998, “Evolutionary Computation in Financial Engineering: A Road Map of GAs
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         Chua, D. B., M. Kritzman and S. Page, 2009, “The Myth of Diversification”, The Journal of
         Portfolio Management, 36(1), pp. 26–35.

         Chung, J., 2007, “Single Product Sector Urged for Longevity Risk”, Financial Times (July 2).

         Clarke, R. G., H. de Silva and B. Wander, 2002, “Risk Allocation versus Asset Allocation”, The
         Journal of Portfolio Management, 29, pp. 9–30.

         Cobley, M., 2008, “U.K. Firms Face Rising Longevity of Workers”, The Wall Street Journal (July
         1).

         Cohen, N. and J. Lemer, 2009, “Babcock Pension to Hedge Risk of Longevity”, Financial Times
         (May 13).

         Cole, C. R. and K. A. McCullough, 2006, “A Reexamination of the Corporate Demand for
         Reinsurance”, The Journal of Risk and Insurance, 73(1), pp. 169–192.

         Congressional Budget Office, 2005, “A Potential Influenza Pandemic: Possible Macroeconomic
         Effects and Policy Issues”, CBO (December 8).

         Conning Research and Consulting, Inc., 2007, Life Settlement Market: Increasing Capital and
         Investor Demand, (Hartford, CT: Conning Research and Consulting).

        Conning Research and Consulting, Inc., 2008, Life Settlements: New Challenges to Growth,
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        Cossette, H., T. Duchesne and E. Marceau, 2003, “Modeling Catastrophes and Their Impact on
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        Coughlan, G., D. Epstein, A. Ong, A. Sinha, J. Hevia-Portocarrero, E. Gingrich, M. Khalaf-
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Cowley, A. and J. D. Cummins, 2005, “Securitization of Life Insurance Assets and Liabilities”,
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Cox, S. H. and H. W. Pedersen, 2000, “Catastrophe Risk Bonds”, North American Actuarial
Journal, 4(4), pp. 56–82.

Cox, S. H. and Y. Lin, 2004, “Natural Hedging of Life and Annuity Mortality Risks”, Proceedings
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Cox, S. H., Y. Lin and S. Wang, 2006, “Multivariate Exponential Tilting And Pricing
Implications For Mortality Securitization”, The Journal of Risk and Insurance, December, 73(4), pp.
719–736.

Cox, S. and Y. Lin, 2007, “Natural Hedging of Life and Annuity Mortality Risks”, North
American Actuarial Journal, 11(3), pp. 1–15.

Crama, Y. and M. Schyns, 2003, “Simulated Annealing for Complex Portfolio Selection
Problems”, European Journal of Operational Research, 150(3), pp. 546–571.

Cremers, J. H., M. Kritzman and S. Page, 2005, “Optimal Hedge Fund Allocations”, The Journal
of Portfolio Management, 31(3), pp. 70–81.

Csiszar, E. N., 2007, “An Update on the Use of Modern Financial Instruments in the Insurance
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Cummins, J. D., D. Lalonde and R. D. Phillips, 2004, “The Basis Risk of Index-Linked
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Cummins, J. D., 2005, “Convergence in Wholesale Financial Services: Reinsurance and
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Cummins, J. D., 2006, “Should the Government Provide Insurance for Catastrophes?”, Federal
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Cummins, J. D., 2008, “Cat Bond and Other Risk-Linked Securities: State of the Market and
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Cummins, J. D. and P. Trainar, 2009, “Securitization, Insurance and Reinsurance”, The Journal
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Cummins, J. D. and M. A. Weiss, 2009, “Convergence of Insurance and Financial Markets:
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Davies, J., 2009, “Opportunities in Risk”, Financial Times (October 16).

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DBRS, 2008, “Rating U.S. Life Settlement Securitizations”, New York (February).



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INVESTING IN INSURANCE RISK


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         Insurance: Mathematics and Economics, 38, pp. 427–40.
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         Dowd, K., 2006, “The Invisible Problem of Risk Blindness”, Financial Engineering News Magazine,
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         Dowd, K., D. Blake and A. J. G. Cairns, 2006, “The Grave Problem of Longevity Risk”, Financial
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         Dowd, K., A. J. G. Cairns, D. Blake, G. D. Coughlan, D. Epstein and M. Khalaf-Allah, 2008,
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         Paper PI-0802.

         Durbin, D., 2001, “Managing Natural Catastrophe Risks: The Structure and Dynamics of
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         Eling, M. and D. Toplek, 2009, “Modeling and Management of Nonlinear Dependencies –
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         Embrechts, P., J. Neslehova and M. V. Wüthrich, 2009, “Additivity Properties for Value-at-Risk
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         EQECAT, 2008, “eCAT: A New Tool for Managing Securitized Natural Catastrophe Risk”, ABS
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Froot, K. A., 2001, “The Market for Catastrophe Risk: A Clinical Examination”, Journal of
Financial Economics, 60, pp. 529–571.
Froot, K. A., 2007, “Risk Management, Capital Budgeting, and Capital Structure Policy of
Insurers and Reinsurers”, The Journal of Risk and Insurance, 74, pp. 273–299.
Froot, K. A. and P. O’Connel, 2008, “On the Pricing of Intermediated Risks: Theory and
Application to Catastrophe Reinsurance”, Journal of Banking and Finance, 32, pp. 69–85.
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Golden, L., M. Wang and C. Yang, 2007, “Handling Weather Related Risks Through Financial
Markets: Considerations of Credit Risk, Basis Risk, and Hedging”, The Journal of Risk and
Insurance, 74(2), pp. 319–46.
Goldstein, M., 2007, “Profiting from Mortality”, Business Week (October 30).
Goldstein, M., 2008, “Why Death Bonds Look So Frail”, Business Week (February 25).
Gore, G., 2006, “Credit Suisse Launched Longevity Index”, Risk, 19(1).
Gorvett, R. W., 1999, “Insurance Securitization: The Development of a New Asset Class”,
Securitization of Risk –Discussion Paper Program, Casualty Actuarial Society, pp. 133–173.
Government Accountability Office, 2005, “Catastrophe Risk: U.S. and European Approaches
to Insure Natural Catastrophe and Terrorism Risks” (GAO-05–1999), Report to the Chairman,
Committee on Financial Services, US House of Representatives, Washington, DC.



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INVESTING IN INSURANCE RISK


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         Gurenko, E. N. (Ed.), 2004, Catastrophe Risk and Reinsurance, (London: Risk Books).

         Guy Carpenter, 2008, “2008 Reinsurance Market Review”, New York.

         Guy Carpenter, 2008, “The Catastrophe Bond Market at Year-End 2007”, New York.

         Hardy, M. R. and J. L. Wirch, 2004, “The Iterated CTE – A Dynamic Risk Measure”, North
         American Actuarial Journal, 8(4), pp. 62–75.

         Hardy, M. R., 2005, “A Matter of Life and Death”, Financial Engineering News Magazine, 46, pp.
         17–20.

         Harrison, J., 2007, “Securitisation of Insurance Risks”, Financial Instruments Tax and Accounting
         Review, September, pp. 4–8.

         Hill, A., 2009, “Longevity Risk Pioneers Must Learn from Crisis”, Financial Times (May 12).

         Hill, J. M., 2006, “Alpha as a Net Zero-Sum Game”, Journal of Portfolio Management, 32, pp.
         24–32.

         Horsewood, R., 2003, “A Farewell to Arms: What the DARPA Funded Market in Geopolitical
         Risk Futures Would Have Looked Like”, Financial Engineering News Magazine, 34
         (November/December).

         Hull, J., M. Predescu and A. White, 2005, “Bond Prices, Default Probabilities and Risk
         Premiums”, The Journal of Credit Risk, 1(2), pp. 53–60.

         Hull, J. C., 2006, Options, Futures, and Other Derivatives (6th Ed.), (Upper Saddle River, NJ:
         Prentice Hall).

         IAIS, 2009, “Developments in (Re)Insurance Securitisation, Global Reinsurance Market
         Report”, International Association of Insurance Supervisors, Basel (August 26).

         International Financing Review, 2006. “Mortality Bond Issue Upsized”, 40 (November 4).

         International Monetary Fund, 2006, The Limits of Market-based Risk Transfer and Implications for
         Managing Systemic Risks, Washington, DC.

         Johnson, K., 2008, “Stormy Weather: Is Global Warming to Blame?”, The Wall Street Journal
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         Johnson, S., 2007, “FSA Warns over Longevity Figures”, Financial Times (May 14).

         Jones, S., 2009, “The Formula that Felled Wall Street”, Financial Times (April 24).

         Jorion, P., 2007, Value at Risk: The New Benchmark for Managing Financial Risk (3rd Ed.), (New
         York: McGraw-Hill).

         Jung, J., 2008, “Living with Volatility”, Risk Magazine (March)

         Juri, A. and M. V. Wutrich, 2003, “Tail Dependence from a Distributional Point of View”,
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        Kahneman, D. and D. Lovello, 1993, “Timid Choices and Bold Forecasts: A Cognitive
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        Keenlyside, N., M. Latif, J. Junclaus, L. Kornblueh and E. Roeckner, 2008, “Advancing
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        Klein, R. W. and S. Wang, 2009, “Catastrophe Risk Financing in the United States and the
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         Loeys, J., N. Panigirtzoglou and R. Ribeiro, 2007, “Longevity: A Market in the Making”, Global
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         Scott, J. S., J. G. Watson and W.-Y. Hu, 2007, “Efficient Annuitization: Optimal Strategies for
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         Sharpe, W. F., 1964, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions
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         Skypala, P., 2008, “Pensions Put Longevity Near Top of Hazards List”, Financial Times
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         Standard & Poor’s, 2006, “Ratings Raised On Vita Capital II’s Catastrophe-Indexed Notes”,
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         Standard & Poor’s, 2007, “Framework for Rating Natural Peril Catastrophe Bonds”, Standard
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         Standard & Poor’s, 2008, “Default Table Used to Rate Insurance-Linked Securitizations,
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Standard & Poor’s, 2008, “Guide to Rating Process for Insurance-Linked Securities”, Standard
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Standard & Poor’s, 2008, “Methodology and Assumptions Used for Rating Natural Catastrophe
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Standard & Poor’s, 2008, “Guide To Rating Insurance-Linked Mortality Catastrophe Bonds”,
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Standard & Poor’s, 2008, “Insurance-Linked Securities – Capital Treatment and Basis Risk
Analysis”, Standard & Poor’s (September 12).

Standard & Poor’s, 2008, “Approach to Rating Indemnified Natural Catastrophe Insurance-
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Standard & Poor’s, 2008, “Clarifying The Framework For Rating Natural Catastrophe Bonds”,
Standard & Poor’s (November 26).

Stone, C. and A. Zissu, 2006, “Securitization of Senior Life Settlements: Managing Extension
Risk”, The Journal of Derivatives, 13(3), pp. 66–80.

Stone, C. and A. Zissu, 2007, “The Return on a Pool of Senior Life Settlements”, Journal of
Structured Finance, 13(2), pp. 62–70.

Stone, C. A., 2009, “The Supply and Demand for Life Settlement Contracts”, The Journal of
Structured Finance, Summer, 15(2), pp. 101–111.

Stummer, C. and M. Sun, 2005, “New Multiobjective Metaheuristic Solution Procedures for
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Swiss Re, 2006, “Securitization: New opportunities for Insurers and Investors”, sigma, 7/2006,
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Swiss Re, 2007, “Natural Catastrophes and Man-Made Disasters in 2006: Low Insured Losses”,
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         Wang, S., 1998, “Aggregation of Correlated Risk Portfolios: Models and Algorithms”,
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         Wang, S., 2000, “A Class of Distortion Operations for Pricing Financial and Insurance Risks”,
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         Wang, S., 2004, “Cat Bond Pricing Using Probability Transforms”, The Geneva Papers on Risk and
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         Wang, S.-M., J.-C. Chen, H.-M. Wee and K.-J. Wang, 2006, “Non-linear Stochastic Optimization
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         Yang, X., 2006, “Improving Portfolio Efficiency: A Genetic Algorithm Approach”, Computational
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                                                                                                 467

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Insurance Linked Securities, Reinsurance, Risk Management REFERENCES

  • 1. INSURANCE‐LINKED SECURITIES,  REINSURANCE,  RISK  MANAGEMENT  AND  INSURANCE RISK ANALYSIS  BIBLIOGRAPHY  Extensive reference source on insurance‐linked securities,  reinsurance,  insurance,  analysis of insurance risk,  management of portfolios of  insurance risk,  insurance catastrophe modeling,  construction and  optimization of insurance risk portfolios,  cat bonds,  reinsurance  structures,  risk accumulation,  risk measures in insurance and reinsurance,   enterprise risk management for insurance and reinsurance companies,   regulatory arbitrage in insurance and reinsurance,  direct and indirect  investment in insurance and reinsurance risk,  use of actuarial analytical  tools,  risk and return tradeoffs,  risk‐based capital,  stochastic analysis,   and global trends in insurance, reinsurance and capital markets  Taken from Alex Krutov,  Investing in Insurance Risk  (Insurance‐Linked  Securities  –  A Practitioner’s Perspective),  Risk Books,  London,  2011    > Most comprehensive  > Will soon require an update    Compliant with DMCA criteria 
  • 2. References Aase, K., 1999, “An Equilibrium Model of Catastrophe Insurance Futures and Spreads”, Geneva Papers on Risk and Insurance, 24, pp. 69–96. Aase, K., 2001, “A Markov Model for the Pricing of Catastrophe Insurance Futures and Spreads”, The Journal of Risk and Insurance, 68(1), pp. 25–50. ABI, 2009, “The Financial Risks of Climate Change”, ABI Research Paper No 19, Report Prepared by AIR Worldwide Corp. and the Met Office Achaerf, A., 2002, “Local Search Techniques for Constrained Portfolio Selection Problems”, Computational Economics, 20(3), pp. 177–190. AIR Worldwide, 2009, “The AIR Hurricane Model: AIR Atlantic Tropical Cyclone Model V11.0”, Submitted to the Florida Commission on Hurricane Loss Projection Methodology, Final Submission (May). AIR Worldwide, 2009, “AIR Worldwide Sponsors the Global Earthquake Model (GEM) Project”, Press Release (February 25). Allen, F. and E. Carletti, 2006, “Mark-to-Market Accounting and Liquidity Pricing”, Working Paper 06–15, Wharton Financial Institutions Center. American Academy of Actuaries, 1999, “Evaluating the Effectiveness of Index-Based Insurance Derivatives in Hedging Property/Casualty Insurance Transactions”, Report of the Index Securitization Task Force, Washington, DC. American Academy of Actuaries, 2002, Final Report of the American Academy of Actuaries Commissioners Standard Ordinary Task Force, Presented in Draft to the National Association of Insurance Commissioners Life and Health Actuarial Task Force, Washington, DC. Antolin, P. and H. Blommestein, 2007, “Governments and the Market for Longevity-Indexed Bonds”, Organisation for Economic Co-operation and Development Working Papers on Insurance and Private Pensions, OECD Publishing. Aon Benfield, 2009, Insurance-Linked Securities: Adopting to an Evolving Market, (Chicago: Aon Benfield). Aon Benfield, 2009, Reinsurance Market Outlook, (Chicago: Aon Benfield). Artzner P., F. Delbaen, J.-M. Eber and D. Heath, 1999, “Coherent Measures of Risk”, Mathematical Finance, 9(3), pp. 203–228. AXA Structured Finance, 2009, “Facing the Storm with Catastrophe Bonds”, AXA Investment Manager’s Research Review, Paris: AXA. Barro, R. J., 2005, “What Price Catastrophe Risk?”, Business Week (October 3). Bacon, C. R., 2008, Practical Portfolio Performance Measurement and Attribution (2nd Ed.), (New York: John Wiley & Sons). 453
  • 3. INVESTING IN INSURANCE RISK Baker, R., 1998, “Genetic Algorithms in Search and Optimization”, Financial Engineering News Magazine, 2–3, pp. 1–13. Bakos, T. and K. Parankirinathan, 2006, “The Life Settlement Market is an Opportunity”, The Journal of Structured Finance, 12(2), pp. 46–49. Bantwal, V. J. and H. C. Kunreuther, 2000, “A Cat Bond Premium Puzzle?”, Journal of Psychology and Financial Markets, 1, pp. 76–91. Barbe, P., A.-L. Fougeres and C. Genest, 2006, “On the Tail Behavior of Sums of Dependent Risks”, ASTIN Bulletin, 36(2), pp. 361–373. Barnett, J., R. E. Kreps, J. A. Major and G. G. Venter, 2007, “Multivariate Copulas for Financial Modeling”, Variance, 1(1), pp. 103–119. Barrieu, P. and H. Louberge, 2009, “Hybrid Cat Bonds,” The Journal of Risk and Insurance, 76(3), pp. 547–578. Barrieu, P. and L. Albertini (Eds), 2009, The Handbook of Insurance-Linked Securities, (New York: John Wiley & Sons). Beilis, A., 2000, “Weather Optionality”, Financial Engineering News Magazine, 17. Bernstein, P. L., 1998, Against the Gods: The Remarkable Story of Risk, (New York: John Wiley & Sons). Bernstein, P. L., 2009, “Risk Inverse”, The Journal of Portfolio Management, 35(3), pp. 1–1. AM Best Company, 2005, “Life Settlement Securitization”, www.ambest.com (September 1). AM Best Company, 2006, “Assessing the ‘Tail Risk’ of Sidecars”, www.ambest.com (October 9). AM Best Company, 2007, “Securitization of Reinsurance Recoverables”, www.ambest.com (August 20). AM Best Company, 2008, “Rating Natural Catastrophe Bonds”, www.ambest.com (January 22). AM Best Company, 2008, “Securitization of Annuities”, www.ambest.com (May 22). AM Best Company, 2009, “Life Settlement Securitization”, www.ambest.com (November 24). Bhuyan, V. B., Ed., 2009, Life Markets, (Hoboken, NJ: John Wiley & Sons). Biffis, E. and D. Blake, 2008, “Securitizing and Tranching Longevity Exposures”, Pensions Institute Discussion Paper PI-0824. Blake, D. and W. Burrows, 2001, “Survivor Bonds: Helping to Hedge Mortality Risk”, The Journal of Risk and Insurance, 68, pp. 339–348. Blake, D., 2006, Pension Finance, (New York: John Wiley & Sons). Blake, D., A. J. G. Cairns, K. Dowd and R. MacMinn, 2006, “Longevity Bonds: Financial Engineering, Valuation and Hedging”, The Journal of Risk and Insurance, 73, pp. 647–72. Blake, D., A. J. G. Cairns and K. Dowd, 2006, “Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities”, British Actuarial Journal, 12, pp. 153–97. Blake, D., A. J. G. Cairns and K. Dowd, 2008, “Longevity Risk and the Grim Reaper’s Toxic Tail: The Survivor Fan Charts”, Insurance: Mathematics & Economics, 42, pp. 1062–66. Blake, D. and D. Harrison, 2008, “Life Settlements Trade Raises Complex Issues”, Financial Times (June 6). Blake, D., T. Boardman, A. Cairns and K. Dowd, 2009, “Everyone Wins if UK Issues Longevity Bond”, Financial Times (June 28). Bodoff, N. M. and Y. Gan, 2009, “An Analysis of the Market Price of Cat Bonds”, Casualty Actuarial Society Forum, Spring, pp. 1–26. 454
  • 4. REFERENCES Booth, H., R. J. Hyndman, L. Tickle and P. de Jong, 2006, “Lee-Carter Mortality Forecasting: A Multi-Country Comparison of Variants and Extensions”, Demographic Research, 15, pp. 289–310. Booth, H. and L. Tickle, 2008, “Mortality Modelling and Forecasting: A Review of Methods”, Annals of Actuarial Science, 3, pp. 3–43. Borak, S., W. Härdle and R. Weron, 2005, Statistical Tools for Finance and Insurance, (Berlin: Springer). Bouriaux, S., 2001, “Basis Risk, Credit Risk and Collateralization Issues for Insurance-Linked Derivatives and Securities”, Journal of Insurance Regulation, 20(1), pp. 94–120. Bouriaux, S. and R. MacMinn, 2009, “Securitization of Catastrophe Risk: New Developments in Insurance- Linked Securities and Derivatives”, Journal of Insurance Issues, 32(1), pp. 1–34. Bowers, N., H. Gerber, J. Hickman, D. Jones and C. Nesbitt, 1997, Actuarial Mathematics, (Schaumburg, IL: Society of Actuaries). Boyle, P., M. Hardy and T. C. F Vorst, 2005, “Life after VaR”, The Journal of Derivatives, 13(1), pp. 48–55. Boyle, P. and W. Tian, 2007, “Portfolio Management with Constraints”, Mathematical Finance, 17(3), pp. 319–344. Brabazon, A., and M. O’Neill, 2006, Biologically Inspired Algorithms for Financial Modeling, (Berlin: Springer-Verlag). Brady, M., 2008, “How Will Longer Life Expectancy Estimates Impact Settlements?”, National Underwriter (December 3). Brockett, P., M. Wang, C. Yang and H. Zou, 2006, “Portfolio Effects and Valuation of Weather Derivatives”, Financial Review, 41, pp. 55–76. Brockett, P., L. Golden, M.-M. Wen and C. C. Yang, 2009, “Pricing Weather Derivatives Using the Indifference Pricing Approach”, North American Actuarial Journal, 13(3), pp. 303–315. Bromann, K., 2008, “ILS Investments and Portfolio Diversification”, Presentation, Workshop on Insurance-Linked Securities, Imperial College, London (October 31). Cain, M. and D. Peel, 2004, “Utility and the Skewness of Return in Gambling”, Geneva Papers on Risk and Insurance, 29(2), pp. 145–163. Cairns, A. J. G., D. Blake and K. Dowd, 2004, “Pricing Framework for Securitization of Mortality Risk”, Technical Report, Heriot-Watt University. Cairns, A. J. G., D. Blake and K. Dowd, 2006, “Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk”, ASTIN Bulletin, 36, pp. 79–120. Cairns, A., D. Blake, D. and K. Dowd, 2006, “A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration”, The Journal of Risk and Insurance, 73, pp. 687–718. Cairns, A. J. G., D. Blake and K. Dowd, 2008, “Modelling and Management of Mortality Risk: A Review”, Pension Institute Discussion Paper PI-0814. Cairns, A. J. G., D. Blake, K. Dowd, G. D. Coughlan, and M. Khalaf-Allah, 2008, “Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models”, Pension Institute Discussion Paper PI-0801. Cairns, A. J. G., D. Blake, K. Dowd, G. D. Coughlan, D. Epstein, A. Ong, and I. Balevich, 2009, “A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States”, North American Actuarial Journal, 13(1), pp. 1–35. Cairns, A., 2009, “The Government is Planning to Raise the Age of Retirement ... but are Scots Getting a Fair Deal?”, The Sunday Herald (September 20). 455
  • 5. INVESTING IN INSURANCE RISK Campbell, K. and W. Keogh, 2009, “Understanding of Earthquake Risk Improving Dramatically in U.S.”, EQECAT, ABS Consulting Group. Canabarro E., M. Finkemeier, R. R. Anderson and F. Bendimerad, 2000, “Analyzing Insurance- Linked Securities”, The Journal of Risk Finance, 1(2), pp. 49–75. Canter, M. S., J. B. Cole and R. L. Sandor, 1996, “Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry”, Journal of Derivatives, 4, pp. 89–105. Cao, M. and J. Wei, 2004, “Weather Derivatives Valuation and Market Price of Weather Risk”, Journal of Futures Markets, 24(11), pp. 1065–1089. Casey, B. T. and T. D. Sherman, 2007, “Are Life Settlements a Security?”, The Journal of Structured Finance, 12(4), pp. 55–60. CFA Institute, 2006, Global Investment Performance Standards (GIPS) Handbook (2nd Ed.), (Charlottesville, VA: CFA Institute). Chacko, G., P. Hecht, V. Dessain, A. Sjoman and A. J. Plotkin, 2004, “Bank Leu’s Prima Cat Bond Fund”, Harvard Business School. Chance, D., 2004, “Default Risk as an Option”, Financial Engineering News Magazine, 38 (January/February), pp. 15–22. Chen, H. and S. Cox, 2009, “Modeling Mortality with Jumps: Applications to Mortality Securitization”, The Journal of Risk and Insurance, 76(3), pp. 727–751. Chen, H. and J. D. Cummins, 2009, “Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing”, Insurance: Mathematics and Economics, Submitted. Chen, S.-H., 1998, “Evolutionary Computation in Financial Engineering: A Road Map of GAs and GP”, Financial Engineering News Magazine, 6, pp. 3–11. Chua, D. B., M. Kritzman and S. Page, 2009, “The Myth of Diversification”, The Journal of Portfolio Management, 36(1), pp. 26–35. Chung, J., 2007, “Single Product Sector Urged for Longevity Risk”, Financial Times (July 2). Clarke, R. G., H. de Silva and B. Wander, 2002, “Risk Allocation versus Asset Allocation”, The Journal of Portfolio Management, 29, pp. 9–30. Cobley, M., 2008, “U.K. Firms Face Rising Longevity of Workers”, The Wall Street Journal (July 1). Cohen, N. and J. Lemer, 2009, “Babcock Pension to Hedge Risk of Longevity”, Financial Times (May 13). Cole, C. R. and K. A. McCullough, 2006, “A Reexamination of the Corporate Demand for Reinsurance”, The Journal of Risk and Insurance, 73(1), pp. 169–192. Congressional Budget Office, 2005, “A Potential Influenza Pandemic: Possible Macroeconomic Effects and Policy Issues”, CBO (December 8). Conning Research and Consulting, Inc., 2007, Life Settlement Market: Increasing Capital and Investor Demand, (Hartford, CT: Conning Research and Consulting). Conning Research and Consulting, Inc., 2008, Life Settlements: New Challenges to Growth, (Hartford, CT: Conning Research and Consulting). Cossette, H., T. Duchesne and E. Marceau, 2003, “Modeling Catastrophes and Their Impact on Insurance Portfolios”, North American Actuarial Journal, 7(4), pp. 1–22. Coughlan, G., D. Epstein, A. Ong, A. Sinha, J. Hevia-Portocarrero, E. Gingrich, M. Khalaf- Allah and P. Joseph, 2007, LifeMetrics: A Toolkit for Measuring and Managing Longevity and Mortality Risks, Technical Document, JP Morgan. 456
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