Securitized Risk Instruments as Alternative Pension Fund Investments

@inproceedings{Cummins2002SecuritizedRI,
  title={Securitized Risk Instruments as Alternative Pension Fund Investments},
  author={Joanna Cummins and C. M. Lewis},
  year={2002}
}
Recent years have seen the introduction of a new class of derivative securities based on "exotic underlyings" such as natural catastrophes and weather. This paper analyzes the pros and cons of these new securities as assets for institutional investors. It is argued that the underlyings on which these derivatives trade have very low correlations with other factors that move the investment markets, potentially enabling investors to shift the efficient investment frontier in a favorable direction… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.

Explore Further: Topics Discussed in This Paper

Citations

Publications citing this paper.

References

Publications referenced by this paper.
Showing 1-10 of 23 references

Capital Market Innovation in the Insurance Industry,

Swiss Re
Sigma • 2001
View 11 Excerpts
Highly Influenced

Natural Catastrophes and Man-Made Disasters in 2001: Man-Made Losses Take on a New Dimension.

Swiss Re
Sigma • 2002
View 2 Excerpts
Highly Influenced

Too Little Reinsurance of Natural Disasters in Many Markets,

Swiss Re
Sigma • 1997
View 3 Excerpts
Highly Influenced

Aircraft Lease Securitization: ALPS to EETCs.” <www.winstim.com>

Bowers, C William
2002

Commentary: Rating Transitions 2001: U.S. ABS Credit Ratings Endure the Test of Recession,

Hu, Joseph, Patrick Coyne, Jay Elengical
Standard & Poor’s. <www.standardandpoors.com> • 2002

Managing Risk Using Index-Linked Catastrophic Loss Securities.

Cummins, J. David, David Lalonde, Richard D. Phillips
In Alternative Risk Strategies, • 2002

The Basis Risk of IndexLinked Catastrophic Loss Securities.

Cummins, J. David, David Lalonde, Richard D. Philips
Working paper. Wharton Financial Institutions Center, Philadelphia • 2002

Analyzing the Pricing of the 2001 Risk- linked Securities Transactions.” Presented at the IIASA-DPRI Meeting on Integrated Disaster Management, Laxenberg

Lane, N Morton
Lane Financial LLC, Keynote speech at the AFIR • 2001

Bowie Bonds: One-off or a Sound Vision for the Future.

Benz, Matthew
2001

Similar Papers

Loading similar papers…