Should the pricing of reinsurance catastrophes be related to the price of the default risk embedded in corporate bonds?...

Purpose – This article aims to examine the risk inherent in the insurance of the aviation industry, to take an outsider's look at those risks and to develop certain “capital market” pricing rules. Design/methodology/approach – The aviation industry presents a classic...

Purpose – This article aims to examine the risk inherent in the insurance of the aviation industry, to take an outsider's look at those risks and to develop certain “capital market” pricing rules. Design/methodology/approach – The aviation industry presents a classic...

At this year's third annual Bond Market Association Risk‐Linked Securities Conference, John Seo gave an excellent address entitled “Risk Management Tools for Investors.” The more colorful subtitle was along the lines of “evaluating multi‐peril bonds and avoiding the Bermuda...

The year 2002 was a record for insurance securitization. It's official. According to Marsh and McLennan $1.22 billion bonds were issued in 2002 versus $1.136 billion in 2000. Our own readings of history are slightly off calendar, usually measuring the 12 months in between first quarter ends....

In the convergence between the capital markets and reinsurance markets, the prime mover of insurance risk into capital markets have been investment banks. Also, among the most active leveraged underwriters of capital market credit risk are reinsurers, as opposed to hedge funds or banks. A key...

In the insurance‐linked securities (ILS) market, where trends in underlying (reinsurance) prices are hard for outsiders to discern, secondary market prices could provide valuable investor information. So far, the market has provided little price information aside from new issue prices. The...

Risk is difficult to measure — so difficult that no single measure seems robust enough for all circumstances. This is especially true of measuring the risk contained in insurance‐linked securities. Insurance risk is usually asymmetrically skewed. As a conse‐quence, traditional capital...