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New research allows longevity swap basis risk to be better assessed

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.The research, commissioned by the Institute and Faculty of Actuaries (IFoA) and Life and Longevity Markets Association (LLMA) and read the full article →

Cass Business School, Hymans Robertson to work on longevity basis risk

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.Cass Business School, part of City University in London, UK, and Hymans Robertson, read the full article →

Research will attempt to understand basis risk in longevity risk transfer

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 read the full article →

PERILS AG industry loss index utilised in $3.18 billion of risk transfer transactions

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 read the full article →

PERILS industry loss index used for over $2.79 billion of risk transfer

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 read the full article →

A.M. Best seeks greater disclosure of cat bond basis risk

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 read the full article →