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The Journal of Alternative Investments

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Insurance-Linked Securities (ILS): How to Construct a Performance Index

Lars Jaeger, Ivan Melnychuk and Samuel Scherling
The Journal of Alternative Investments Fall 2011, 14 (2) 36-64; DOI: https://doi.org/10.3905/jai.2011.14.2.036
Lars Jaeger
is a partner and CEO at Alternative Beta Partners in Baar-Zug, Switzerland.
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  • For correspondence: lars.jaeger@altbetapartners.com
Ivan Melnychuk
is a vice president at Alternative Beta Partners in Baar-Zug, Switzerland.
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  • For correspondence: ivan.melnychuk@altbetapartners.com
Samuel Scherling
is a managing director at Alternative Beta Partners in Baar-Zug, Switzerland.
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  • For correspondence: samuel.scherling@altbetapartners.com
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Abstract

Increasingly, insurance-linked securities (ILS) are being seen as a source of alternative beta. Modern asset pricing theory suggests a general framework in which risk premia can be systematically modeled. From an investor’s point of view, this framework suggests a natural question: Besides being described, analyzed, and modeled, can the ILS risk premium be systematically captured and replicated—analogous to the well-known equity risk premium or the more recently discussed alternative beta risk premia? The authors offer a methodology for the construction of a performance index designed to cost-efficiently capture ILS alternative beta. They discuss some implications of the availability of ILS performance indices for both passive and active management of ILS exposures.

TOPICS: Security analysis and valuation, mutual funds/passive investing/indexing, performance measurement

  • Copyright © 2011 Alternative Beta Partners. All rights reserved. Not to be reproduced or redistributed without permission.
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The Journal of Alternative Investments: 14 (2)
The Journal of Alternative Investments
Vol. 14, Issue 2
Fall 2011
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Insurance-Linked Securities (ILS): How to Construct a Performance Index
Lars Jaeger, Ivan Melnychuk, Samuel Scherling
The Journal of Alternative Investments Sep 2011, 14 (2) 36-64; DOI: 10.3905/jai.2011.14.2.036

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Insurance-Linked Securities (ILS): How to Construct a Performance Index
Lars Jaeger, Ivan Melnychuk, Samuel Scherling
The Journal of Alternative Investments Sep 2011, 14 (2) 36-64; DOI: 10.3905/jai.2011.14.2.036
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  • Article
    • Abstract
    • OVERVIEW
    • QUALITY FILTERS
    • PERIL LIMITS
    • POSITION WEIGHTING WITHIN A PERIL GROUP
    • REBALANCING AND OTHER INDEX CONSTRUCTION CHOICES
    • INDEX REPRESENTATIVENESS42
    • RESULTS
    • SUMMARY AND CONCLUSION
    • ENDNOTES
    • REFERENCES
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