Life settlements and longevity structures : pricing and risk management / Jim Aspinwall, Geoff Chaplin, Mark Venn.

Format:

Book

Author/Creator:

Aspinwall, Jim.

Contributor:

Chaplin, Geoff.

Venn, Mark.

Series:

Wiley finance series.

Wiley finance

Language:

English

Subjects (All):

Life insurance.

Viatical settlements.

Longevity.

Physical Description:

1 online resource (276 p.)

Edition:

1st ed.

Place of Publication:

Chichester, U.K. : Wiley, 2009.

Language Note:

English

Summary:

Recent turbulence in the financial markets has highlighted the need for diversified portfolios with lower correlations between the different investments. Life settlements meet this need, offering investors the prospect of high, stable returns, uncorrelated with the broader financial markets. This book provides readers of all levels of experience with essential information on the process surrounding the acquisition and management of a portfolio of life settlements; the assessment, modelling and mitigation of the associated longevity, interest rate and credit risks; and practical approaches

Contents:

Life Settlements and Longevity Structures; Contents; Introduction; 1 Life Insurance: Primary and Secondary Markets; Introduction; 1.1 HISTORY, APPLICATION AND TERMINATION OF LIFE INSURANCE POLICIES; 1.1.1 History: Early Life Insurance; 1.1.2 Modern Insurance; 1.1.3 Insurance Moves to America; 1.1.4 Summary; 1.1.5 Applications of Life Insurance; 1.1.6 The Parties Involved in a Life Insurance Policy; 1.1.7 Life Insurance and Life Assurance; 1.1.8 Termination and Surrender of Life Insurance Policies; 1.2 LIFE INSURANCE POLICY TYPES AND UNDERWRITING; 1.2.1 Universal Life

1.2.2 Variable Universal Life1.2.3 Term Insurance; 1.2.4 Endowment Insurance; 1.2.5 Whole Life; 1.2.6 Policy Riders; 1.3 DEVELOPMENT OF THE VIATICAL SETTLEMENT AND LIFE SETTLEMENT MARKETS; 1.3.1 History and Inception; 1.3.2 Negative Sentiments; 1.3.3 Market Size; 1.3.4 Institutional Involvement; 1.4 THE PARTIES INVOLVED IN A LIFE SETTLEMENT TRANSACTION; 1.5 THE LIFE SETTLEMENT PROCESS; 1.6 LEGAL ISSUES; 1.7 OTHER ISSUES; 2 Mortality and Credit Structures, Valuation and Risk; 2.1 CDS AND CDO CONTRACTS; 2.1.1 CDS; 2.1.2 CDO; 2.1.3 Synthetic and Cash Flow CDOs; 2.1.4 Life Policy CDOs

2.2 VALUATION APPROACH AND DATA2.2.1 Approach; 2.2.2 Data; 2.3 THE POISSON PROCESS; 2.4 SINGLE LIFE MORTALITY CALCULATIONS; 2.4.1 Corporate Mortality: CDS Contracts and Bond Pricing; 2.4.2 Generic Life Policy Valuation; 2.4.3 Mortality Adjustments; 2.4.4 Risk Analysis in the Life Assurance Context - Mortality Curve Stresses; 2.5 CORRELATION AND PORTFOLIO CALCULATIONS; 2.5.1 Copulas; 2.5.2 Bivariate Copulas; 2.5.3 Gaussian Copula and Correlation in CDO Structures; 2.5.4 Correlation in Life Insurance; 2.6 RATING TRANSACTIONS; 2.7 RISK MANAGEMENT OF A STRUCTURED LIFE SETTLEMENTS PORTFOLIO

2.7.1 Risk Managing a Book of Traded Financial Assets2.7.2 Risk Managing a Portfolio of Mortality Risks in an Insurance Company; 2.7.3 Risk Managing a Life Settlements Portfolio; 2.7.4 Current Risk Management Software; 3 Structured Products and Securitization; 3.1 SECURITIZATION; 3.1.1 Other Examples: Synthetic Securitization; 3.1.2 Prestructures; 3.2 STRUCTURED PRODUCTS; 3.2.1 Mortgage Structures; 3.2.2 Other Examples; 3.3 THE RISKS OF STRUCTURED PRODUCTS; 3.3.1 Problems with Correlations and Volatility; 3.3.2 Pricing Structures; 3.4 MODELLING; 3.4.1 Implied Models; 3.4.2 Parametric Models

3.4.3 Realized Moments3.5 LIFE SETTLEMENT POOL (LSP); 3.5.1 Volatility in LSPs; 3.5.2 Correlation in LSPs; 3.5.3 Credit Risks; 3.5.4 LSP: Examples; 3.5.5 Other Risks; 3.5.6 Due Diligence; 3.6 CONCLUSION; 4 Examples of LSP Securitization: A Principal Protected Fund; 4.1 A SIMPLE EXAMPLE; 4.2 OTHER POOL EXAMPLES; 4.2.1 Assumptions; 4.2.2 Statically managed fund; 4.2.3 A Managed pool; 4.2.4 Looking at risks; 4.2.5 Leveraged reinvested pools; 4.3 Group policies; 4.4 Conclusion; 4.4.1 Administration; 4.4.2 Modelling; Appendix: Sample product description outline; A4.1 Introduction

A4.2 Product description

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786613372413

9781119206446

1119206448

9780470684856

0470684852

9781283372411

128337241X

9780470746899

0470746890

OCLC:

742332884