This is more specialized than most books in Recommended Reading that are listed here, but I can’t resist since cat bonds is one of my favorite topics. It is not the most favorite but is close there. The analytical issues are fascinating for a quant because everything is so different from options and bonds. It’s weird in a strangely attractive way. I wish I were able to do something interesting in this field.
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Very little has been written on the subject. This book is by far the most comprehensive of anything I see. My favorite cat bonds are a relatively small part of the 500-page book but other chapters describe modeling and analysis that is needed for cat bonds as well. Catastrophe reinsurance is here as well. The inclusion of insurance-linked securities tied to life insurance such as mortality and longevity is also interesting. I don’t understand this part as well as cat bonds and similar securities.
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The book is written by a prominent investor in insurance-linked securities and reinsurance Alex Krutov. He is Managing Director of Century Atlantic Capital and, as it says, has worked for Navigation Advisors, AIG (is it good?), UBS, Reliance and AXA. He is an actuary by training, reminding me of the distinction between true quants and actuaries that we have discussed in these forums on a number of occasions. Alex Krutov is obviously both a quant and an actuary by training, but he seems to be a portfolio manager more than anything else, and be in general management in general. It is good somebody like him found time for sharing his expertise even though he is now high up in the chain of command and not in the quant trenches. Most books we read are written by academics and those in the industry who perform research functions. That is natural and that is how it should be. Yet it’s good to see an occasional book by a true practitioner such as this one by Alex Krutov. It's different.
<o:p></o:p>
One advice is to go to the library and get the book there if possible because the Amazon price is higher than one sees for textbooks. If it’s not an issue or you are very interested in the topic like I am, go ahead and buy it. I don’t want to provide a link to Amazon or the publisher because of the price.
Here is the description copied from the website.
Investing in Insurance Risk: Insurance-Linked Securities - A Practitioner's Perspective
Alex Krutov
Description
Insurance-linked securities and certain reinsurance instruments provide the ability to invest in insurance directly, as opposed to investing in equities or debt issued by insurance and reinsurance companies. The pure insurance risk component of these investments can range from that of property catastrophe to longevity, all of which provide limited correlation with the investment performance of traditional asset types. Securitisation of insurance risk has also become an important tool for risk and capital management that can be utilised by insurance companies alongside the more traditional approaches. It offers insurance and reinsurance companies additional flexibility at a time when the landscape keeps changing and the ability to respond to changes quickly is a critical source of competitive advantage.
Investing in Insurance Risk by Alex Krutov looks at all of the issues involved in investing in insurance risk and in issuing insurance-linked securities. It examines the various types of insurance-linked securities now available to investors, along with techniques for their analysis. In addition, the book explains the considerations insurance companies face in transferring insurance risk to the capital markets.
The book is somewhat provocatively titled Investing in Insurance Risk to emphasize that investing always involves the potential of both return and risk. This is particularly clear in a field such as insurance-linked securities, where risk transfer rather than simply raising capital is often the primary driver for issuing these securities. The ability to analyze the risk-return profile of these investments is essential for both issuing and investing in them. The book is designed to serve as a valuable resource to those active in the marketplace, while also aiding basic understanding of the topics for those new to the field. The author offers a clear practitioner s perspective as opposed to an academic one; this hands-on approach is particularly important in a market that is new and still evolving.
About the Author
Alex Krutov is Managing Director of Century Atlantic Capital Management, where he developed an investment strategy across all types of insurance-linked securities (ILS) and collateralized reinsurance, as well as portfolio optimization and risk management techniques for ILS and reinsurance. Prior to joining the firm, he was President of Navigation Advisors LLC, a New York management-consulting firm focused on the insurance industry, capital markets, and general management. Prior to founding Navigation Advisors, Alex Krutov was employed in a variety of roles, including officer-level positions, at companies such as Transatlantic Reinsurance Company, American International Group, Reliance Group, UBS Warburg, and AXA Financial. Alex Krutov s primary expertise and experience involve the products that bridge the gap between (re)insurance and capital markets. He has strong expertise in insurance securitisation, alternative risk transfer, reinsurance and insurance underwriting, portfolio issues in investing in insurance-linked securities, risk analysis, pricing of catastrophe (re)insurance risk, and general management.
Alex Krutov is a member of the American Academy of Actuaries, the Casualty Actuarial Society, and the Society of Actuaries. He chairs the Risk-Based Capital Committee of the American Academy of Actuaries. In addition to his actuarial credentials, Alex Krutov holds an MBA in Management and Finance from the Columbia University Graduate School of Business. He also holds an MS in Physics.
Please note this is not an introductory quantitative finance book. It is not for any standard class you may be taking. Insurance-linked securities is a highly specialized field. Don’t get it unless you have interest in at least one of these: cat (catastrophe) bonds, reinsurance, longevity risk, insurance derivatives, modeling catastrophes, insurance risk transfer and analysis, securitization of insurance risk, life settlements, and insurance catastrophe portfolio management and optimization. <o:p></o:p>
<?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /><o:p></o:p>
Very little has been written on the subject. This book is by far the most comprehensive of anything I see. My favorite cat bonds are a relatively small part of the 500-page book but other chapters describe modeling and analysis that is needed for cat bonds as well. Catastrophe reinsurance is here as well. The inclusion of insurance-linked securities tied to life insurance such as mortality and longevity is also interesting. I don’t understand this part as well as cat bonds and similar securities.
<o:p></o:p>
The book is written by a prominent investor in insurance-linked securities and reinsurance Alex Krutov. He is Managing Director of Century Atlantic Capital and, as it says, has worked for Navigation Advisors, AIG (is it good?), UBS, Reliance and AXA. He is an actuary by training, reminding me of the distinction between true quants and actuaries that we have discussed in these forums on a number of occasions. Alex Krutov is obviously both a quant and an actuary by training, but he seems to be a portfolio manager more than anything else, and be in general management in general. It is good somebody like him found time for sharing his expertise even though he is now high up in the chain of command and not in the quant trenches. Most books we read are written by academics and those in the industry who perform research functions. That is natural and that is how it should be. Yet it’s good to see an occasional book by a true practitioner such as this one by Alex Krutov. It's different.
<o:p></o:p>
One advice is to go to the library and get the book there if possible because the Amazon price is higher than one sees for textbooks. If it’s not an issue or you are very interested in the topic like I am, go ahead and buy it. I don’t want to provide a link to Amazon or the publisher because of the price.
Here is the description copied from the website.
Investing in Insurance Risk: Insurance-Linked Securities - A Practitioner's Perspective
Alex Krutov
Description
Insurance-linked securities and certain reinsurance instruments provide the ability to invest in insurance directly, as opposed to investing in equities or debt issued by insurance and reinsurance companies. The pure insurance risk component of these investments can range from that of property catastrophe to longevity, all of which provide limited correlation with the investment performance of traditional asset types. Securitisation of insurance risk has also become an important tool for risk and capital management that can be utilised by insurance companies alongside the more traditional approaches. It offers insurance and reinsurance companies additional flexibility at a time when the landscape keeps changing and the ability to respond to changes quickly is a critical source of competitive advantage.
Investing in Insurance Risk by Alex Krutov looks at all of the issues involved in investing in insurance risk and in issuing insurance-linked securities. It examines the various types of insurance-linked securities now available to investors, along with techniques for their analysis. In addition, the book explains the considerations insurance companies face in transferring insurance risk to the capital markets.
The book is somewhat provocatively titled Investing in Insurance Risk to emphasize that investing always involves the potential of both return and risk. This is particularly clear in a field such as insurance-linked securities, where risk transfer rather than simply raising capital is often the primary driver for issuing these securities. The ability to analyze the risk-return profile of these investments is essential for both issuing and investing in them. The book is designed to serve as a valuable resource to those active in the marketplace, while also aiding basic understanding of the topics for those new to the field. The author offers a clear practitioner s perspective as opposed to an academic one; this hands-on approach is particularly important in a market that is new and still evolving.
About the Author
Alex Krutov is Managing Director of Century Atlantic Capital Management, where he developed an investment strategy across all types of insurance-linked securities (ILS) and collateralized reinsurance, as well as portfolio optimization and risk management techniques for ILS and reinsurance. Prior to joining the firm, he was President of Navigation Advisors LLC, a New York management-consulting firm focused on the insurance industry, capital markets, and general management. Prior to founding Navigation Advisors, Alex Krutov was employed in a variety of roles, including officer-level positions, at companies such as Transatlantic Reinsurance Company, American International Group, Reliance Group, UBS Warburg, and AXA Financial. Alex Krutov s primary expertise and experience involve the products that bridge the gap between (re)insurance and capital markets. He has strong expertise in insurance securitisation, alternative risk transfer, reinsurance and insurance underwriting, portfolio issues in investing in insurance-linked securities, risk analysis, pricing of catastrophe (re)insurance risk, and general management.
Alex Krutov is a member of the American Academy of Actuaries, the Casualty Actuarial Society, and the Society of Actuaries. He chairs the Risk-Based Capital Committee of the American Academy of Actuaries. In addition to his actuarial credentials, Alex Krutov holds an MBA in Management and Finance from the Columbia University Graduate School of Business. He also holds an MS in Physics.
Please note this is not an introductory quantitative finance book. It is not for any standard class you may be taking. Insurance-linked securities is a highly specialized field. Don’t get it unless you have interest in at least one of these: cat (catastrophe) bonds, reinsurance, longevity risk, insurance derivatives, modeling catastrophes, insurance risk transfer and analysis, securitization of insurance risk, life settlements, and insurance catastrophe portfolio management and optimization. <o:p></o:p>
