Insurance-linked securities as part of advanced risk intermediation (Insa Adena, Katharina Hartwig and Georg Rindermann)
Reinsurance vs Securitisation (Guillaume Gorge)
Securitisation as a diversification from traditional retrocession (Jean-Luc Besson).

4 Choice of Triggers (Dominik Hagedorn, Christian Heigl, Andreas Muller and Gerold Seidler)

General aspects
Indemnity triggers
Non-indemnity triggers
Choosing the optimal trigger

5 Basis Risk from the Cedant’s Perspective (David Ross and Jillian Williams)

Introduction
Investor vs sponsor risk
Trigger types
Catastrophe models
Sources of basis risk
Defining basis risk
Quantifying basis risk
Minimising basis risk
Conclusion

Acknowledgements

References

6 Rating Methodology (Cameron Heath)

Standard & Poor's ratings services' rating process
Risk analysis
Legal and swap documentation review process
Impact on sponsor.

7 Risk Modelling and the Role and Benefits of Cat Indices (Ben Brookes)

Components of a cat model
Insurance-linked securities
Cat indices
Summary

8 Legal Issues (Malcolm Wattman, Matthew Feig, James Langston and James Frazier)

The note offering – federal securities law implications
The note offering – the offering circular
Types of transactions
Conclusion

9 The Investor Perspective (Non-Life) (Luca Albertini)

The creation of a sustainable and liquid market
Key transaction features from the investor perspective
Market evolution: the investor perspective.

10 ILS Portfolio Monitoring Systems (Tibor Winkler and John Stroughair)

Introduction
Miu – An ILS platform in a convergent space
RMS library of cat bond characterisations
Conclusion

11 The Evolution and Future of Reinsurance Sidecars (Douglas J. Lambert and Kenneth R. Pierce)

A brief history of the brief history of sidecars
Sidecar structures
The appeal of sidecars
Structuring considerations
The outlook for sidecars
Conclusion

12 Case Study: A Cat Bond Transaction by SCOR (Atlas) (Emmanuel Durousseau)

Introduction: SCOR’s recent history
Atlas III and IV: Background
Atlas: Main characteristics
Basis Risk
Total Return Swap
Conclusion

Appendix A

Definition of events
Extension events

13 Case Study: Swiss Re's New Natural Catastrophe Protection Program (Vega) (Jay Green and Jean-Louis Monnier)

A positive evolution of Swiss Re's ILS strategy
Swiss Re accesses multi-event natural catastrophe coverage
The first ILS to use a cash reserve account as credit enhancement
Innovation leads to more efficient protection.

PART II LIFE SECURITISATION

14 General Features of Life Insurance-Linked Securitisation (Norman Peard)

Life insurer corporate and business structures, risks and products
Actors and their roles
Process

15 Cedants' Perspectives on Life Securitisation

A cedant's perspective on life securitisation (Alison McKie)
A cedant’s perspective on life securitisation (Chris Madsen)

16 Rating Methodology (Harish Gohil)

Fitch's approach to the rating process
Insurance risk analysis
Zest: a VIF case study

References

17 Life Securitisation: Risk Modelling (Steven Schreiber)

Modelling of a catastrophic mortality transactio
Modelling of a VIF transaction

18 Life Insurance Securitisation: Legal Issues (Jennifer Donohue)

Monetisation of future cash flows
Legal aspects of life insurance securitisation – some key features
Some examples of value-in-force securitisation/monetisation
Outlook

19 The Investor Perspective (Life) (Luca Albertini)

Life insurance-linked risks and investor appetite
Key transaction features from the investor perspective
Market evolution: the investor perspective

20 Longevity Securitisation: Specific Challenges and Transactions (Jennifer Donohue, Kirsty Maclean and Norman Peard)

Mortality and longevity risk
A market for longevity risk
Key structural aspects of longevity risk securitisation
Some features of longevity risk

21 Longevity Risk Transfer: Indices and Capital Market Solutions (Guy Coughlan)

The nature of longevity risk
The market for longevity risk transfer
Importance of indices, tools and standards
Capital market instruments for longevity risk transfer
Customised vs standardised longevity hedges
Case study: customised longevity hedge
Implementing a standardised index-based longevity hedge
Conclusions

References

22 Case Study: A Cat Mortality Bond by AXA (OSIRIS) (Sylvain Coriat)

Catastrophic pandemic risk
Considered risk transfer tools
Detailed structure
Risk analysis
Investors' reaction
Spread behaviour
Next steps

Reference

23 Case Study: Some Embedded Value and XXX Securitisations (Michael Eakins and Nicola Dondi)

Embedded value securitisation – Avondale S.A.
XXX securitisation

PART III TAX AND REGULATORY CONSIDERATIONS

24 The UK Taxation Treatment of Insurance-Linked Securities (Adam Blakemore and Oliver Iliffe)

The Directive and the taxation of UK ISPVs
Non-UK insurance special purpose vehicles
Indirect taxes and withholding of income tax

25 The US Federal Income Taxation Treatment of Insurance-Linked Securities (David S. Miller and Shlomo Boehm

Avoiding US corporate income tax for the issuer
Withholding tax and excise tax
US federal income tax treatment of an investor in a catastrophe bond issuer: overview.

26 Regulatory Issues and Solvency Capital Requirements (Mark Nicolaides, Simeon Rudin, Rick Watson and Katharina Hartwig)

Regulatory issues relevant for ILS sponsors
Solvency I
Solvency II

Appendix A: Standard formula, solvency capital requirement (SCR)

Calculation of the basic solvency capital requirement
Calculation of the non-life underwriting risk module
Calculation of the life underwriting risk module
Calculation of the market risk module

Index

Section headings

PART I NON-LIFE SECURITISATION
PART II LIFE SECURITISATION
PART III TAX AND REGULATORY CONSIDERATIONS

BarrieuAndAlbertini