Post-Conference Workshops - Friday, January 30th, 2009

  • Workshop A: Managing A Portfolio Of Longevity Risks
  • Workshop B: Meteorology 101: How To Bet On The Weather
  • Workshop C: ILS Trading Strategies and the CATEX Global Reinsurance Exchange

9:00 - 11:45 Workshop A: Managing A Portfolio Of Longevity Risks

Longevity risk can provide an investment portfolio with diversification benefits, but engineering the portfolio to be diversified in itself can be a challenging task. Considerations must be made for the underwriting techniques, types of impairment, and even the prospect of changing longevity estimates. This interactive workshop led by longevity underwriting experts will address the challenges to developing a profitable and diversified portfolio.

What you will learn:

  • Understanding of the calculations used in longevity tables
  • How to recognize and subsequently reconcile imbalances in your portfolio
  • Mechanics of a diversified portfolio of longevity risks

What will be covered

  • Addressing changes to the VBT tables: how do the 2008 VBT tables impact portfolios constructed on 2001 VBT tables
  • Customizing portfolio goals to appropriate risk appetite levels
  • Detail of the medical underwriting and longevity analysis processes

Robert Miller
Managing Director of Underwriting Services
EMSI

Dr. Linda Goodwin
Chief Underwriter
Medical Director

Steven Boger
President
Boger & Associates

12:00 - 2:45 Workshop B: Meteorology 101: How To Bet On The Weather

You have acknowledged the benefits and evaluated the risks of investing in CAT bonds. Perhaps you have already developed a diversified portfolio of different perils and regions. The basics of finance are routine to you; but what do you know about the weather? This interactive workshop will discuss weather trends that are predictive of extreme windstorm systems so you can track the weather systems set to impact your investments and perhaps even make you a maven cat bond investor by predicting the weather before it happens.

(lunch included)

What you will learn:

  • Elements that determine hurricane, tornado, and cyclone development
  • Factors that impact storm size
  • Methods for evaluating, measuring, and predicting storm strength What will be covered
  • The development of different kinds of storm systems
  • Methods for predicting insured losses and parametric triggers from storm scale metrics
  • Alternatives to the Saffir-Simpson hurricane scale and the advantages and disadvantages of different storm scale metrics

Workshop Leader:
David Simmons
Head, Research Publications
Aon Benfield


Prof. Mark Saunders
Lead Scientist and Project Manager, Tropical Storm Risk (TSR); Professor
University College London

Dr. Adam Lea, Research Fellow
Seasonal Prediction of Tropical Cyclone Activity, Tropical Storm Risk (TSR)
University College London

3:00 - 5:45 Workshop C: ILS Trading Strategies and the CATEX Global Reinsurance Exchange

With the development of sophisticated trading platforms and derivatives products, the ability to trade live catastrophe event insurance contracts has opened a new avenue to capitalize in the insurance risk transfer industry. This workshop will provide an in-depth look at how these new exchange traded products are constructed and traded as well as offering a glimpse at where the secondary market for insurance risk is headed.

What you will learn:

  • Trading strategies for live cat options and derivatives
  • How to manage basis and liquidity risks with secondary products
  • Fundamentals of insurance derivative products

What will be covered

  • Risk measurement methods for different types of indexed products
  • The differences between and benefits of investing in ILWs, ELFs, and other live CAT derivative products
  • Constructing a portfolio of synthetic catastrophic risk

Workshop Leaders:
Frank Fortunato
CEO & Co-founder
CATEX

Frank Sweeney
COO & Co-founder
CATEX