
Life Settlements And Longevity Structures: Pricing And Risk Management
Recent turbulence in the financial markets has highlighted the needfor diversified portfolios with lower correlations between thedifferent investments. Life settlements meet this need, offeringinvestors the prospect of high, stable returns, uncorrelated withthe broader financial markets. This book provides readers of all levels of experience withessential information on the process surrounding the...
Hardcover: 274 pages
Publisher: Wiley; 1 edition (August 3, 2009)
Language: English
ISBN-10: 0470741945
ISBN-13: 978-0470741948
Product Dimensions: 7 x 0.9 x 9 inches
Amazon Rank: 1443869
Format: PDF ePub TXT book
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“The book offers a buyer more in return than the price of the book. The instruction in the material provides essential information on the process involved in evaluating, acquiring and managing a Life Settlement Portfolio. Strategies will vary on acq...”
acquisitionand management of a portfolio of life settlements; the assessment,modelling and mitigation of the associated longevity, interest rateand credit risks; and practical approaches to financing and riskmanagement structures. It begins with the history of life insuranceand looks at how the need for new financing sources has led to thegrowth of the life settlements market in the United States.The authors provide a detailed exploration of the mathematicalformulae surrounding the generation of mortality curves, drawing aparallel between the tools deployed in the credit derivativesmarket and those available to model longevity risk. Structuredproducts and securitisation techniques are introduced andexplained, starting with simple vanilla products and models beforeillustrating some of the investment structures associated with lifesettlements. Capital market mechanisms available to assist theinvestor in limiting the risks associated with life settlementportfolios are outlined, as are opportunities to use lifesettlement portfolios to mitigate the risks of traditional capitalmarkets. The last section of the book covers derivative products,either available now or under consideration, that will reduce orpotentially eliminate longevity risks within life settlementportfolios. It then reviews hedging and risk management strategiesand considers how to measure the effectiveness of riskmitigation.
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