312211 Seminar on Topics in Securitization of Insurance Markets (S) (SoSe 2019)

Kurzkommentar

The traditional insurance industry diversifies risk in a large portfolio. Using the law of large numbers, this works very well for unsystematic risk. If a systematic risk is involved though, the law of large numbers does not work well any more. One example of a systematic risk in life insurance is the longevity risk: people might live systematically longer than anticipated when calculating the premium for pension insurance. This leads to the risk of extra costs for the live insurer, who has to pay the pensions longer than expected. The transfer of this (systematic) insurance risk to the financial markets is called securitization of the insurance market.
Using recent original literature in English language, we consider different aspects as the pricing and hedging of securitization products, as well as the (optimal) use for investors and the insurance industry.

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