Reading List

Reading List

Primary Readings

Lecture 1: Gorvett, 1999. "Insurance Securitization: The Development of a New Asset Class," Securitization of Risk Discussion Paper Program, Casualty Actuarial Society, pp. 133-173

Lecture 2: Gallant-Halloran, 2000, "Securitization in Canada: An Introduction to the Basics," Contingencies, July/August

Chapter 26 ("Collateralized Mortgage Obligations") of Fabozzi, 2001, The Handbook of Fixed Income Securities, McGraw-Hill, sixth edition (Chapter 28 in fifth edition)

Lecture 3: Powers and Powers, 1997, "Seeking the Perfect Catastrophe Index," Best's Review P/C, December: 101-103.

Lecture 4: Quinn, 1998, "Catastrophe Bonding: Reinsurance and Wall Street versus Mother Nature," Contingencies, September/October, pp. 20-27
DeFontaine, 2001, "Vanishing Cat Bonds," Best's Review, January.
Fitch IBCA, Duff & Phelps, 2001, "The Operation and Evolution of Catastrophe-Linked Bonds"

Fitch IBCA, Duff & Phelps, 2001, "Rating Guidelines for Catastrophe-Linked Bonds"

Lecture 5: Meyers and Kollar, 1999, "Catastrophe Risk Securitization: Insurer and Investor Perspectives," Securitization of Risk Discussion Paper Program, Casualty Actuarial Society, pp. 223-272
Froot and Posner, 2000, "Issues in the Pricing of Catastrophe Risk," Guy Carpenter & Co., Inc., white paper

Lecture 6: Froot, 1998, "The Evolving Market for Catastrophic Event Risk," Guy Carpenter & Co., Inc., white paper

Lane and Beckwith, 2001, "Current Trends in Risk-Linked Securitizations," Risk Management Magazine (August)

Other Useful Readings and Websites

Cox, Fairchild, and Pedersen, 1999, Actuarial and Economic Aspects of Securitization of Risk, Securitization of Risk Discussion Paper Program, Casualty Actuarial Society, pp. 19-57.
D'Arcy, France, and Gorvett, 1999, Pricing Catastrophe Risk: Could CAT Futures Have Coped with Andrew? Securitization of Risk Discussion Paper Program, Casualty Actuarial Society, pp. 59-109.
Doherty, 1997, "Innovations in Managing Catastrophe Risk," Journal of Risk and Insurance, 64: 713-718.
Chapter 24 (Mortgages and Overview of Mortgage-Backed Securities),
Chapter 25 (Mortgage Pass-Throughs), and
Chapter 29 (Securities Backed by Automobile Loans) of
Fabozzi, 2001, The Handbook of Fixed Income Securities, McGraw-Hill, sixth edition
(chapters 26, 27, and 31, respectively, in fifth edition).
Harrington, 1997, "Insurance Derivatives, Tax Policy, and the Future of the Insurance Industry," Journal of Risk and Insurance, 64: 719-725.
Harrington and Niehaus, 1999, Basis Risk with PCS Catastrophe Insurance Derivative Contracts, Journal of Risk and Insurance, 66: 49-82.
Jaffee and Russell, 1997, Catastrophe Insurance, Capital Markets, and Uninsurable Risks, Journal of Risk and Insurance, 64: 205-230.
Major, 1996, "Index Hedge Performance: Insurer Market Penetration and Basis Risk," ** Guy Carpenter & Co., Inc., white paper.
** The CAS is working to obtain a copy of this reading that is no longer available on the Guy Carpenter & Company website. Thank you for your patience.
Meyers, 1998, A Buyer's Guide for Options on a Catastrophe Index, Proceedings of the Casualty Actuarial Society, 85: 187-210.
Santomero, 1997, "Insurers in a Changing and Competitive Financial Structure," Journal of Risk and Insurance, 64: 727-732.
CATEX website

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Lecture 1:	Gorvett, 1999. "Insurance Securitization: The Development of a New Asset Class," Securitization of Risk Discussion Paper Program, Casualty Actuarial Society, pp. 133-173
Lecture 2:	Gallant-Halloran, 2000, "Securitization in Canada: An Introduction to the Basics," Contingencies, July/August Chapter 26 ("Collateralized Mortgage Obligations") of Fabozzi, 2001, The Handbook of Fixed Income Securities, McGraw-Hill, sixth edition (Chapter 28 in fifth edition)
Lecture 3:	Powers and Powers, 1997, "Seeking the Perfect Catastrophe Index," Best's Review P/C, December: 101-103.
Lecture 4:	Quinn, 1998, "Catastrophe Bonding: Reinsurance and Wall Street versus Mother Nature," Contingencies, September/October, pp. 20-27 DeFontaine, 2001, "Vanishing Cat Bonds," Best's Review, January. Fitch IBCA, Duff & Phelps, 2001, "The Operation and Evolution of Catastrophe-Linked Bonds" Fitch IBCA, Duff & Phelps, 2001, "Rating Guidelines for Catastrophe-Linked Bonds"
Lecture 5:	Meyers and Kollar, 1999, "Catastrophe Risk Securitization: Insurer and Investor Perspectives," Securitization of Risk Discussion Paper Program, Casualty Actuarial Society, pp. 223-272 Froot and Posner, 2000, "Issues in the Pricing of Catastrophe Risk," Guy Carpenter & Co., Inc., white paper
Lecture 6:	Froot, 1998, "The Evolving Market for Catastrophic Event Risk," Guy Carpenter & Co., Inc., white paper Lane and Beckwith, 2001, "Current Trends in Risk-Linked Securitizations," Risk Management Magazine (August)