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1999 Discussion Papers on Securitization of Risk

1999 Discussion Papers on Securitization of Risk

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Table of Contents

Index Hedge Performance: Bootstrap Study of Hurricane Fran
Xin Cao and Bruce Thomas

Actuarial and Economic Aspects of Securitization of Risk
Samuel H. Cox, Ph.D., FSA, Joseph R. Fairchild, MBA, and Hal W. Pedersen, Ph.D., ASA

Pricing Catastrophe Risk: Could CAT Futures Have Coped with Andrew?
Stephen P. D'Arcy, FCAS, MAAA, Virginia Grace France, and Richard W. Gorvett, FCAS, MAAA

Eliminating Mortgage Insurance through Risk-Adjusted Interest Rates (The Securitization of Mortgage Default Risk)
Bruce D. Fell, FCAS, MAAA, and William S. Ober

Insurance Securitization: The Development of a New Asset Class
Richard W. Gorvett, FCAS, MAAA, ARM, Ph.D.

Risk Load and the Default Rate of Surplus
Excel model upon which the paper is based*
Donald F. Mango, FCAS, MAAA

Catastrophe Risk Securitization: Insurer and Investor Perspectives
Glenn G. Meyers, FCAS, MAAA and
John J. Kollar, FCAS, MAAA

Uncertainty in Hurricane Risk Modeling and Implications for Securitization
David Miller, Ph.D.

Property/Liability Insurance Risk Management and Securitization
Trent R. Vaughn, FCAS, MAAA

* Only available on the Web Site.

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