Securitization of Life Insurance Assets and Liabilities

By A. Cowley, J. Cummins. 2005

232 citations recorded by the source corpus.

Subfields: Accounting, Demography, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/82494ddcfba51d5fbece6efa92ad96c18a240d9a

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Citations in the corpus

Securitization of Mortality Risks in Life Annuities (2005, background): “Cummins (2004) has reviewed these securitizations recently. It turns out that none of these securitizations to date has focused on longevity risk. They have involved selling future cash flows, which depend on many risks, such as surrender rates, investment income as well as mortality. The only pure ”
On the pricing of longevity-linked securities (2010, background): “Friedberg and Webb (2007) apply the Capital Asset Pricing Model (CAPM) and the Consumption Capital Asset Pricing Model (CCAPM) to quantify risk premiums for potential investors in longevity bonds, which turn out to be very low. However, the authors acknowledge that there is likely to exist a “mortal”
Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing (2010, unknown): “Insurers and reinsurers are supplementing the traditional risk warehousing function with risk intermediation, which enables them to operate more efficiently and increases their underwriting capacities (Cowley and Cummins, 2005; Cox and Lin, 2007; Froot, 2001).”
On systematic mortality risk and risk-minimization with survivor swaps (2008, background): “For a discussion on securitisation of life insurance risk in genereal, see Cowley and Cummins (2005) .”
Longevity Risk, Retirement Savings, and Financial Innovation (2012, unknown): “Of particular interest is Cowley and Cummins (2005) who study the bond issued by Swiss Re aiming to insure the company against a large increase in mortality rates (due to, for an example, a pandemic), and the consequent increase in payouts of life insurance policies.”
Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk Transfer Solutions (2008, unknown): “…securities market has expanded from coverage of catastrophes to other perils such as extreme mortality risk, automobile insurance, and liability insurance, as well as securitizations of life insurance embedded values (Cowley and Cummins 2005, Rooney and Brennan 2006, Swiss Re 2006).”
Delta–Gamma hedging of mortality and interest rate risk (2012, background): “For instance, they can swap pure endowments or issue longevity bonds: see for instance Cowley and Cummins (2005).”
A Two-Factor Model for Stochastic Mortality With Parameter Uncertainty: Theory and Calibration (2006, unknown): “A full discussion of these securities can be found in Cowley and Cummins (2005). intractability at the present time of such models is hindering their practical implementation .”
Securitization of Catastrophe Mortality Risks (2008, unknown): “Finally, Cowley and Cummins (2005) categorizes securitization as arbitrage opportunities or new classes of risk that enhance market efficiency.”
Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* (2006, background): “However, Pelsser concentrates on the inherent interest-rate and equity risks, whereas we concentrate here on mortality and interest-rate risks.”
Longevity/Mortality Risk Modeling and Securities Pricing (2012, unknown): “In the securitization industry, the appearance of Insurance Linked Securities (ILS), facilitates the interaction and combination of the insurance industry and the capital market (Cummins, 2005).”
Longevity Bonds: Financial Engineering, Valuation, and Hedging (2006, unknown): “3 The issues involved in the securitization of longevity risks are discussed further by Cowley and Cummins (2005) and Krutov (2006).”
Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006, background): “(For further discussion of the issues involved with securitisation, see Cowley & Cummins, 2005.)”