Pre-Conference Workshops: Monday, 26 April 2010
- Workshop A: Optimizing a Portfolio of Catastrophe Risks
- Workshop B: Risk Management for Life Settlement Portfolios: Uncovering the Secrets to Investing with Confidence
- Workshop C: Making Better Use of Catastrophe Models
9.30 – 12.00 Workshop A: Optimizing a Portfolio of Catastrophe Risks
(Registration at 9.00)
For investors new to catastrophe risks, there are bewildering array of different risks, regions, sourcing channels and maturity levels available for portfolio diversification. But what does the “optimal” allocation strategy look like, and how should investors align their risk/reward tolerance with the many options that are available? Attending this 2-hour long workshop – led by ILS rainmaker John Seo – will provide you with a detailed knowledge of cat risk portfolio creation, making you a better investor in this exciting asset class.
What you will learn:
- Achieving visibility over the full spectrum of diversification strategies
- Diversification by asset class (equity, debt, commodities & ILS)
- Diversification by subsectors (wind, quake, life) and geographical regions (US, Japan, Europe, etc)
- Diversification by sourcing channels (cat bonds, ILWs, sidecars, exchangetraded products)
- Diversification by maturity (<1 year, 2-5 years, >5 years)
How you will benefit:
- Understand how to balance diversity levels with your required risk-reward tolerance
- Achieve visibility over the risk metrics for each region and peril combination
- Overcome the pricing difficulties of infrequent historical events
John Seo
Managing Principal
Fermat Capital
13.00 – 15.30 Workshop B: Risk Management for Life Settlement Portfolios: Uncovering the Secrets to Investing with Confidence
(Registration at 12.30)
Investing in life settlements is a complicated business, with a number of critical risks that need to be addressed by the investor in order to maximize returns. This workshop will provide investors, fund managers, and others involved in the life settlements space with the tools they need to manage and reduce risk, whether it’s the risk of longevity, the risk of incorrect valuation, the risk of suboptimal policy selection, as well as legal and liquidity risks. An unmissable workshop for those seeking to invest with confidence!
What you will learn:
- A closer look at the policy selection process – safeguarding against insurable interest and other potential procurement issues
- Understand how the valuation process can help to mitigate extended longevity risk in a life settlement portfolio
- Determine the right legal structure for the right jurisdiction (Ireland, Luxembourg) to help mitigate tax issues such as the potential impact of the recent IRS rulings
- Examine synthetic strategies for managing liquidity risk, including how to hedge liquidity and currency/credit risks associated with a life settlement portfolio
How you will benefit:
- Invest in confidence
- Get a comprehensive understanding of the risks involved with investing in life settlements before you commit capital
- Walk away with the most cost-effective strategies for reducing the riskiness of your life settlement investments
Robin Willi
Chief Investment Officer
Rigi Capital Partners
16.00 – 18.30 Workshop C: Making Better Use of Catastrophe Models
(Registration at 15.30)
Catastrophe models are a critical part of the puzzle for investors in
non-life ILS, but there are few outside the modeling agencies
themselves who understand exactly how the models are designed.
In this workshop, take a look “under the hood” of some of the
world’s most important and popular catastrophe models, and learn
how to make better use of models in your investment calculations.
What you will learn:
- Understand how catastrophe models combine actuarial science, engineering, seismology, meteorology and expert opinion
- Examine the interrelationship between hazard, inventory and vulnerability values within cat models
- Gain a better sense of the ways catastrophe models are used in the structuring – and choice – of cat bond triggers
How you will benefit:
- Learn what the implications are of discrepancies between different catastrophe models
- Become a more sophisticated cat bond investor by better understanding the relationship between modeled values and cat bond pricing
Dr Milan Simic
Managing Director
AIR Worldwide