basis risk

A new study authored by Hang Gao, et al published in The Geneva Papers on Risk and Insurance has highlighted how basis risk is a manageable and structural feature of parametric triggers, decoupling it from financial impacts on insurers or policyholders to focus on its fundamental properties.

A newly published piece of paper provides, what researchers are calling, a novel readily applicable methodology allowing insurers and pension schemes to assess the basis risk associated with index-based longevity swap transactions.

A new research effort will now get underway to investigate and develop a method for assessing the basis risk in longevity risk transactions, after Cass Business School and Hymans Robertson successfully won the bid for the research work.

The Life & Longevity Markets Association (LLMA), an association formed to provide a forum for market participants to collaborate on issues related to the transfer of longevity risks, and the Institute and Faculty of Actuaries have teamed up to run a research project looking into basis risk for longevity risk transfer transactions. A call for […]

The last time we wrote about PERILS AG, the independent Zurich-based company providing industry-wide European catastrophe insurance data and loss indices, they had just reported that their industry loss index had been used for over $2.79 billion worth of risk transfer transactions (including ILW’s and catastrophe bonds). Now, just a month and a half later […]

PERILS AG, the independent Zurich-based company providing industry-wide European catastrophe insurance data and loss indices, continues to gain traction as the preferred source of European windstorm loss data and index tools. They announced today that their PERILS industry loss index has been involved in just over $2.79 billion worth of risk transfer transactions since the […]

Ratings agency A.M. Best has long been a proponent of ensuring that the basis risk of non-indemnity catastrophe bond transactions is transparent and fully disclosed in order to calculate the amount of reinsurance credit that can be claimed by a cat bonds sponsor. Now in a report on their outlook for the U.S. P&C insurance […]