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MORTON N. LANE
Lane Financial LLC, Kenilworth, USA
Оценка сделок по передаче риска.
PRICING RISK TRANSFER TRANSACTIONS
Содержание
Ссылки.
1. BANTWAL, V.J. and KUNREUTHER, H.C. (2000) A Cat Bond Premium Puzzle? In The
Journal of Psichology and Financial Markets, Vol. I, No. 1, 76-91.
2. BLUME, M.E., DONALD, B.K. and SA A.P. (1991) Returns and the Volatility of Low Grade
Bonds. Journal of Finance 44: 909-922.
3. CANABARRO. E.. FINKEMEIER. M., ANDERSON, R.R. and BENDIMER,XD. F. Analyzing
Insurance-Linked Securities, The Journal of Risk Finance, Volume I, No. 2, 49-75.
4. DEROSA-FARAG, S., BLAU, J., MATOUSEK, P, CHANDRA, I., JAGGI, H. and REBEG A. (1998)
Default Rates in the High Yield Market. An Examination Within the Context of Overall
Market Risk. Donaldson, Lufkin 7 Jenrette Securities Corporation,
5. ELTON, E., and Martin J.G. (2000) Explaining the Rate Spread on Corporate Bonds
forthcoming..Journal of Finance.
6. FROOT, K.A. and POSNER, S. (2000) Issues in the Pricing of Catastrophe Risk. Guy
Carpenter Marsh & McLennan Securities White Papers. May 2000. http://www.guycarp.com/
publications/white/whitep.html
7. KEALHOI:E.R, S., KWOK, S. and WENG, W. (1998) Uses and Abuses of Bond Default Rates.
KMV. LLC. industry insider. Technical Papers. 3 March 1998. http://www.kmv.com/docs/documents.html
8. KREPS, R.E. (1990)Reinsurer Risk Loads from Marginal Surplas Requirements. PCAS
LXXVll, 1990.
9. KREPS, R.E. (1998) Investment-Equivalent Reinsurance Pricing. 1998 PCAS Proceedings.
10. LANE, M.N. and BECKWlTH, R.G. (2000) Trends in the Insurance-Linked Securities
Market. Lane Financial L.L.C. Trade Notes, May 31, 2000.
http://www.lanefinancialllc.com/
11. LANE, M.N. and MOVCHAN, O.Y. (1999) Risk Cubes or Price, Risk and Ratings (Part II).
Sedgwick Lane Financial LLC Trade Notes, March 15, 1999.
12. LANE, M.N. (1998) Price, Risk and Ratings for Insurance-Linked Notes: Evaluating Their
Position in Your Portfolio. Derivatives Quarterly, Spring 1998. Based on a presentation
made before the conference, "Rethinking Insurance Regulation 1998" sponsored by the
Competitive Enterprise Institute in Washington, DC on April 13, 1998.
13. LANE, M.N. (1997) A Year of Structuring Furiously: Promises, Promises... Sedgwick Lane
Financial LLC Trade Notes, January 31, 1997. Also published in Energy Insurance Review.
Spring 1997. http://www.lanefinancialllc.com
14. LITZENBERGER, R.H., BEAC, LEHOLE, D.R. and REYNOLDS, C.E. (1996) Assessing
Catastrophe Reinsurance-linked Securities as a New Asset Class. Journal of Portfolio
Management (December): 76-86.
15. MANGO, D. (1999) Risk Load and the Default Rate of Surplus. In Casualty Actuarial
Society, 1999 Discussion Papers on Securitization Risk. http://www.casact.org/pubs/dpp/dpp99/index.htm
16. MODIGLIANI, L. (1997) Investment Strategy: Are Hedge Funds Worth the Risk? In Morgan
Stanley U.S. Investment Research (December 12, 1997).
17. VAN DE CASTLE, K. and K EISMAN, D.(1999) Recovering Your Money: Insights Into Losses
From Defaults. In Standard & Poors Credit Week, June 16, 1999, 29-34.
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