Life Settlements and Longevity Structures
Mark Venn Jim Aspinwall Geoff Chaplin
Sold by Books Puddle, New York, NY, U.S.A.
AbeBooks Seller since 22 November 2018
New - Hardcover
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Add to basketSold by Books Puddle, New York, NY, U.S.A.
AbeBooks Seller since 22 November 2018
Condition: New
Quantity: 3 available
Add to basketThis book provides readers of all levels of experience with essential information on the process surrounding the acquisition and management of a portfolio of life settlements; the assessment, modelling and mitigation of the associated longevity, interest rate and credit risks; and practical approaches to financing and risk management structures. It begins with the history of life insurance and looks at how the need for new financing sources has led to the growth of the life settlements market in the United States.
The authors provide a detailed exploration of the mathematical formulae surrounding the generation of mortality curves, drawing a parallel between the tools deployed in the credit derivatives market and those available to model longevity risk. Structured products and securitisation techniques are introduced and explained, starting with simple vanilla products and models before illustrating some of the investment structures associated with life settlements. Capital market mechanisms available to assist the investor in limiting the risks associated with life settlement portfolios are outlined, as are opportunities to use life settlement portfolios to mitigate the risks of traditional capital markets. The last section of the book covers derivative products, either available now or under consideration, that will reduce or potentially eliminate longevity risks within life settlement portfolios. It then reviews hedging and risk management strategies and considers how to measure the effectiveness of risk mitigation.
GEOFF CHAPLIN studied mathematics at Cambridge (MA 1972) and Oxford (MSc 1973, DPhil 1975) and trained as an actuary (FFA 1978) while working in a life insurance company. He moved to the City in 1980 and has worked for major banks (including HSBC, Nomura International, and ABN AMRO). As a partner in Reoch Credit he has consulted to law firms, hedge funds, corporate treasurers, institutional investment funds and risk control departments of major banks in the areas of credit and mortality risk. He has been involved in the credit derivatives market since 1996 and life settlements structures since 2003. Geoff has also maintained strong academic interests – he was a visiting (emeritus) professor at the University of Waterloo, Canada, from 1987 until 1999. He has also published many articles in Risk, the Journal of the Institute and Faculty of Actuaries, and others, speaks regularly at conferences and is the author of “Credit Derivatives: Risk management, Trading and Investing” published by John Wiley & Sons Ltd, 2005.
MARK VENN isManaging Director of Clearlife Limited, and President of ClearLife US affiliate, ClearLife Inc. ClearLife was founded by Mark in November 2007. It supplies trade processing, evaluation and risk analysis services to participants in the life settlements and premium finance markets. These services are provided through ClearLife™, data management network, ClariNet™, which allows investors in life settlements and synthetic longevity risk to interact in a secure manner with external service providers and other market participants. Prior to founding ClearLife, Mark established Mizuho International plc's Asset Finance Group in 2005 a principal investment team formed to focus on the life settlements market. Mark recruited and managed a team of six front office professionals and worked with Mizuho™, support teams to build a dedicated legal, information technology and operations infrastructure for life settlements. Through this process, Mark gained invaluable experience in designing and developing business procedures, information technology and risk management systems, tailored to the specific requirements of longevity and mortality risk. He also initiated and maintained relationships with key service providers and counterparties in the life settlements market. Over two years, Mark grew Mizuho's life settlements portfolio to over US$1.2 billion in face amount. While at Mizuho, Mark also founded the Institutional Life Markets Association (ILMA), which has become the leading trade association for institutional participants in the life settlements and premium finance markets. Mark joined Mizuho in 2000 with two colleagues to co-found Mizuho™, Structured Credit Products Group, which completed US$3 billion in synthetic US high yield CDOs. From 1993, Mark worked for Credit Suisse First Boston and Credit Suisse Financial Products and was based in Hong Kong, London, New York and Tokyo over this period, specialising latterly in credit derivatives and synthetic CDOs.
Mark holds a master's degree in law from Cambridge University and qualified as a barrister in 1990.
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