Alternative Risk Transfer, Capital and Liability Solutions for Insurers Workshop

Venue: Central London

Location: Central London, United Kingdom

Event Date/Time: Oct 09, 2006 End Date/Time: Oct 11, 2006
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Description

Presenter: Dr. David Murphy

Day 1 – Capital: Requirements, Models, and Instruments

8:30 to 9:00 Registration

9:00 - 9:30 Introduction
Outline of the day
9:30 - 11:15 Capital Structure
Sources and uses of capital
Equity vs hybrid capital
Alternative Sources of Capital: Reinsurance & Insurance Derivatives
11:15 - 11:30 Coffee Break

11:30 - 13:00 Regulatory and Ratings Agency Capital
Understanding the regulatory perspective
Recent developments in equity credit for insurers
Structuring effective insurance hybrid capital instruments
13:00 - 14:00 Lunch
14:00 - 17:00 Economic Capital Models forInsurers Understanding Actuarial and non-arbitrage Models
VAR models and their limitations
Credit risk modelling
Guarantees in life books
Operational risk
Integrated Enterprise-wide capital models
15:30 - 15:45 Coffee Break

17:00 End of Day 1
Day 2 – ART and Product Development for Life Companies

8.30 - 9.00 Registration

9:00 - 9:30 Introduction
Outline of the day
9:30 - 11:15 Securitisation of Life Risk
Understanding securitisation technology and tranching
Embedded Value Securitisation
Ratings agency and regulatory considerations
Structuring an effective EVS
11:15 - 11:30 Coffee Break

11:30 - 13:00 Equity Risk for Life Insurers
Equity derivatives
Variable and guaranteed annuities
Effective hedging of guaranteed annuity structures
CPPI techniques for retail products
13:00 - 14:00 Lunch
14:00 - 17:00 Liability Driven Investment
The LDI Model
Duration and interest rate risk in life books
Understanding the interplay between mortality and investment strategy
Inflation risk in DB books
Inflation-linked bonds and inflation derivatives
Practical Hedging Techniques
Yield Enhancement in Inflation-benchmarked Investment Strategies
15:30 - 15:45 Coffee Break

17:00 End of Day 2
Day 3 – ART and Liability Management for Non-Life Companies

8.30 to 9.00 Registration

9.00 - 9:30 Introduction
Outline of the day
9:30 - 11:15 Risk Transfer Between The Markets
Relative Market Size and Risk Appetite
Credit Derivatives and Securitisation for Insurers
Capital Markets and Actuarial Views of Credit Risk
Finite Reinsurance: Techniques and Issues
11:15 - 11:30 Coffee Break

11:30 - 13:00 Credit Risk, Financial Guarantees and Transformation
Financial Guarantees and Surety Bonds
Transformers and Segregated Cell Companies
Legal issues: Insurance vs. ISDA contrast
13:00 - 14:00 Lunch

14:00 - 17:00 Risk-linked Financing and the Capital Markets
Understanding the trade-off between Reinsurance and Risk-linked Financing
Catastrophe Bonds
Insurance Derivatives
The current state of the Cat Bond market
Effective Cat Bond Structuring
15:30 - 15:45 Coffee Break

17.00 End of Day 3

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