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Insurance and Finance - Converging or Diverging?May 2002 |
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PowerPoint presentation |
References |
| Slide | Reference |
|---|---|
| 9 | Insurance Industry Catastrophe Management Practices American Academy of Actuaries Public Policy Monograph, 2001. Interesting discussion of standard and non-standard approaches to managing catastrophe risk. |
| 22 | Morton Lane and Roger Beckwith, Current Trends in Risk-Linked Securitizations, contains a in-depth descriptions of several deals, Risk Magaine August 2001 |
| 22 | Insurance Linked Securities description of deals involving Swiss Re, including CEA deal (follow research and publications, Integrated Risk Financing, the site doesn't give out direct links) |
| 24 | Morton Lane, A Year of Structuring Furiously: Promises, Promises Early (1996) overview of securitization |
| 24 | Morton Lane, Pricing Risk Transfer Transactions ASTIN paper with data on 2000 deals |
| 24, 44 | Morton Lane, Analyzing the Pricing of the 2001 Risk-Linked Securities Transactions Update to 2000 ASTIN paper with 2001 deals |
| 35 | Babel review of "Two Paradigms for the Market Value of Liabilities" |
| 37 |
Esipov and Guo "Portfolio-Baed Pricing of Residual Market Risk with Applications to the S&P 400 Put Options Prize winning paper which applies actuarial and financianl approaches to price options Mildenhall "Application of the Option Pricing Paradigm to the Solution of Insurance Problems" Actuarial viewpoint on options pricing |
| 38-39 |
LANL preprint server Econophysics papers, type Bouchaud into authors and search on all years. Follow your nose |
| 48 | Available from the author at shaunwang@attbi.com |
| 57 |
Miller, Modigliani Mayers and Smith |
| 58 |
Froot, Scharfstein and Stein |
| 64 | Myers and Skinner: Earnings Momentum and Earnings Management 1999, article quoted in recent Economist article about GE and earnings management |
| 69, | Stewart C. Myers and James A. Read "Capital Allocation for Insurance Companies" Journal of Risk and Insurance Vol 68, no 4 (requires ARIA membership and password) |
| 70, 76 | Cummins and Nini "Optimal Capital Utilization by Financial Firms: Evidence from the Property-Liability Insurance Industry" 2000 RTS website. Contains discussion of whether recent declines in leverage are economically justified (no) and on how different ownership structures solve different agency problems. |
| 77 | |
| 82 | Overview of Asbestos Issues and Trends American Academy of Actuaries Public Policy Monograph, 2001 |
| Miscellaneous Other Links | |
| Artemis Website contains many interesting articles about alternative risk transfer. | |
| Other papers by Morton Lane | |
| (c) Stephen Mildenhall, 2002 | |