Search results

1 – 10 of 341
Per page
102050
Citations:
Loading...
Access Restricted. View access options
Article
Publication date: 1 April 2003

MORTON N. LANE and ROGER G. BECKWITH

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…

121

Abstract

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. Nevertheless, like Marsh we believe that the most recent 12 months represent something of an uptick in activity. Like the margin by which the Marsh record was set, the magnitude of the uptick is small, tiny in fact, but potentially a significant harbinger of directional change. In truth, these are crumbs of comfort for those toiling in the vineyards of insurance securitization. The harvest from a great deal of intellectual and financial investment still eludes us. Notwithstanding, this article records the trends that have occurred during our last 12 months and the messages they contain for that brighter securitization future that surely lies ahead.

Details

The Journal of Risk Finance, vol. 5 no. 1
Type: Research Article
ISSN: 1526-5943

Access Restricted. View access options
Article
Publication date: 1 February 2004

MORTON N. LANE

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…

144

Abstract

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 rectangle.” Yes, rectangle. We will leave the Bermuda angle (rect‐ or tri‐) for John to explain and he can be found (together with his brother Nelson) at Fermat Capital Management LLC managing a fund specializing in investing in cat bonds and other exotica. However, this article takes advantage of his basic plea (simplification) to further explore a favorite topic of ours—how should cat bonds be priced? In particular, to explore the vexing question of multi‐peril bonds compared to single peril bonds. Our approach is to explore “arbitrage‐equivalent” pricing in which covers can be either bought or sold. We do not yet know how to determine how the absolute level of cat bond prices should be set—although we expect it must be driven by two old friends (a.k.a. supply and demand)—but the Seo simplification allows greater insights into relative prices of single vs. multi‐peril bonds even in our arbitrage context. We begin with a reprise of John's examples (see Exhibit 1).

Details

The Journal of Risk Finance, vol. 5 no. 2
Type: Research Article
ISSN: 1526-5943

Access Restricted. View access options
Article
Publication date: 1 February 2001

MORTON N. LANE

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…

214

Abstract

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 example of the institutional consequences of “convergence,” in particular of product design are Collateralized Debt Obligations (CDOs). CDOs combine a managed portfolio of bonds or loans with a hierarchy of claims or priority of loss payments (typical of insurance structures). Early buyers of CDOs were typically high‐yield bond portfolio managers. More recently, reinsurers have come to appreciate the “insurance nature” of these CDO structures, and multiline reinsurers have begun to support CDOs via financial guarantees.

Details

The Journal of Risk Finance, vol. 2 no. 3
Type: Research Article
ISSN: 1526-5943

Access Restricted. View access options
Article
Publication date: 1 March 2001

MORTON N. LANE

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…

59

Abstract

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 author provides his views on what behavior might be expected in a robust ILS secondary market, what information might be obtained, and how value changes might be measured and interpreted.

Details

The Journal of Risk Finance, vol. 2 no. 4
Type: Research Article
ISSN: 1526-5943

Access Restricted. View access options
Article
Publication date: 1 January 1999

MORTON N. LANE and OLEG Y. MOVCHAN

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…

214

Abstract

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 market risk measures — expected loss, probability of default, and the standard deviation of return out‐comes — are less than perfect to the insurance task. Without a good risk measure, it is impossible to compare the risk‐adjusted pricing of insurance‐linked notes on a consistent basis. It is impossible to tell which securities are cheap and which are expensive. It is impossible to decide on their value relative to more traditional investments.

Details

The Journal of Risk Finance, vol. 1 no. 1
Type: Research Article
ISSN: 1526-5943

Access Restricted. View access options
Article
Publication date: 1 July 2005

Morton N. Lane

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…

3883

Abstract

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 low‐frequency/high‐limit insurance problem. Pricing such exposures is difficult because of the high degree of uncertainty involved. After a review of the considerations that an insurance underwriter traditionally brings to the problem, the author applies a simple pricing rule incorporating current thinking on risk evaluation.

Findings

The results of the author's approach are compared with the results of traditional pricing rules, generating interesting insights. The application of the new methodology to the analysis of current pricing and of alternative proposals is suggested.

Originality/value

The article will be of value to those interested in the aviation industry and in the pricing of insurance and reinsurance.

Details

The Journal of Risk Finance, vol. 6 no. 3
Type: Research Article
ISSN: 1526-5943

Keywords

Access Restricted. View access options
Article
Publication date: 1 June 2006

The article aims to develop pricing rules to be implemented in the face of conflicting risks and difficulties inherent in the insurance of the aviation industry.

1682

Abstract

Purpose

The article aims to develop pricing rules to be implemented in the face of conflicting risks and difficulties inherent in the insurance of the aviation industry.

Design/methodology/approach

The author discusses the difficult considerations faced by underwriters in the insurance industry.

Originality/value

The article is of interest to all those involved in the complicated issue of aviation insurance.

Details

Strategic Direction, vol. 22 no. 6
Type: Research Article
ISSN: 0258-0543

Keywords

Access Restricted. View access options
Article
Publication date: 1 January 1954

Aarhus Kommunes Biblioteker (Teknisk Bibliotek), Ingerslevs Plads 7, Aarhus, Denmark. Representative: V. NEDERGAARD PEDERSEN (Librarian).

120

Abstract

Aarhus Kommunes Biblioteker (Teknisk Bibliotek), Ingerslevs Plads 7, Aarhus, Denmark. Representative: V. NEDERGAARD PEDERSEN (Librarian).

Details

Aslib Proceedings, vol. 6 no. 1
Type: Research Article
ISSN: 0001-253X

Access Restricted. View access options
Book part
Publication date: 20 June 2017

David Shinar

Abstract

Details

Traffic Safety and Human Behavior
Type: Book
ISBN: 978-1-78635-222-4

Access Restricted. View access options
Book part
Publication date: 5 October 2007

David Shinar

Abstract

Details

Traffic Safety and Human Behavior
Type: Book
ISBN: 978-0-08-045029-2

1 – 10 of 341
Per page
102050