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Insurance Securitization: Rick Gorvett, FCAS, MAAA, ARM, PH.D
Insurance Securitization: Rick Gorvett, FCAS, MAAA, ARM, PH.D
• Risk
– Recent catastrophes
– Resulting insolvencies and financial
impairment
– Potential for even greater impact
• Response
– Development of securitized insurance
products
What is “Securitization of
Insurance Risk”?
• Insurance securitization
• Portfolio insurance
Risks Which P/C Insurers Face
• Underwriting
– Loss experience: frequency and severity
– Underwriting cycle
– Inflation
– Payout patterns
– Catastrophes
• Investment
– Interest rate risk
– Capital market performance
• High yields
– Default premiums may be high for a time
• Setting up SPV
• Investment banking fees
– Advising
– Spread
• Legal fees
Contingent Capital
• Web page:
http://www.math.uiuc.edu/~gorvett
• E-mail: