Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Further reading on ILS, cat bonds and reinsurance capital

A selection of articles on insurance-linked securities (ILS), catastrophe bonds, alternative reinsurance capital and other topics which are either more technical papers or do not fit within our other library categories.

To view another category go back to the Reading library index.

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Mirror, mirror, on the wall, who is the fairest of them all?
Bermuda: Re & ILS Sep 2013

The Trouble with Catastrophe Bonds
Bloomberg Business Week Magazine Apr 2011

Owner of Tokyo Disneyland Sells earthquake bonds 
Asia Times Online Apr 1999

Pennies from Heaven
Mother Jones Sep 1998

The Potential Role of Government in Financing Catastrophic Risk
Ernst & Young LLP Economics Apr 1998

Estimating  the Value of the WINCAT Coupons of the Winterthur Insurance Convertible  Bond: A Study of the Model Risk 
Uwe Schmock

Homogenizing Catastrophe Risk: An Overview of Catastrophe Indices
Bruce Thomas

Risk Load and the Default Rate of Surplus 
Centre Solutions LLC

Tail Estimation and Catastrophe Security Pricing: Can We Tell What Target We Hit if We Are Shooting in the Dark?
The Wharton School

Index Hedge Performance: Bootstrap Study of Hurricane Fran
Xin Cao and Bruce Thomas

ARTWork
Lloyd’s

Estimating the Value of the WinCAT Coupons: A Study of the Model Risk
Uwe Schmock

Sharing the Risk: Northridge and the Financial Sector 
Department of Economics Haas School of Business – Thomas RusselI & Dwight M. Jaffee

Two for the Money
Journal of Accountancy Nov 1999

ARTWork Edition 2
Lloyd’s

ARTWork Edition 3
Lloyd’s

Financial Markets and Financial Intermediaries: The Case of Catastrophe Insurance
Prof. Dwight M. Jaffee, Haas School of Business, Prof. Thomas Russell, Leavey School of Business Jan 1999

Hidden Linkages: Risk Management, Financial Markets, and Insurance
Contingencies Nov 2000

Smoothing Weather Losses: A Two-Sided Percentile Model
Curtis Gary Dean, David N. Hafling, Mark S. Wenger, and William F. Wilson

Pricing Multiple Triggers – An Electifying Example
Lawrence M. Schober

ARTWork Edition 4
Lloyd’s

ARTWork Edition 5
Lloyd’s

Keeping an eye on interruption risk
New Solutions Dec 2000

Portfolio based pricing of residual basis risk
Sergei Esipov and Dajiang Guo

Pricing Strategies for Multi-line Multi-year Policies
CAS Financial Risk Management Seminar Apr 1999

Program Design and Pricing Options for Integrated Risk Policies
Casualty Actuarial Society Apr 1999

Regulating Onshore Special Purpose Reinsurance Vehicles
Center for Risk Management and Insurance Research, Georgia State University May 2001

The Role of Catastrophe Modeling in Alternative Risk Transfer
Beverly Porter and S. Ming Lee 2002

Evaluating Catastrophe Risk Transfer Alternatives Through Dynamic Financial Analysis
Nathan Schwartz & Laura Esboldt

Hedging Catastrophe Risk Using Index-Based Reinsurance Instruments
Lixin Zeng Mar 2003

Cross-sector risk transfers
Financial Services Authority May 2002

Securitized Risk Instruments as Alternative Pension Fund Investments
The Wharton School Jun 2005

Can Security Markets Save the Private Catastrophe Insurance Market?
“Prof. Dwight M. Jaffee Haas School of Business ” May 1998

An Empirical Analysis of Catastrophe-linked Security Markets: Evidence from PCS Call Spread Options Traded at CBOT
Yiguo Sun Apr 2002

Onshore Special Purpose Reinsurance Vehicles: A Public Policy Evaluation
Center for Risk Management and Insurance Research, Georgia State University Jun 2000

Taking CAT Risks to the Next Advancement
CanadianUnderwriter.ca Feb 2004

Optimizing Return on Capital Employed on Risk Transfer
Marsh & McLennan Companies

How CDOs can make excess capital productive
Guy Carpenter Jan 2008

The Evolving Regulatory Profile of Catastrophe Models
Air Worldwide Mar 2008

Statistical Analysis of the Spreads of Catastrophe Bonds at the Time of Issue
Dimitris Papachristou

Convergence of Insurance & Financial Markets: Hybrid and Securitized Risk Transfer Solutions 
The journal of Risk and Insurance – J. David Cummins, Mary A. Weiss 2009

Indexing Catastrophe Securities
S. Hun Seog, Jangkoo Kang Jan 2008

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RenaissanceRe Capital Partners

Leadenhall Capital Partners LLP

Vantage Risk

GC Securities

Schroders Capital - Insurance-linked securities ILS

Wilmington Trust

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Computershare Corporate Trust

Hiscox ILS (home)

Credit Suisse Insurance Linked Strategies

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