Pre-Conference Workshops: Wednesday, January 27, 2010

9:00 Registration

Worlshop A

9:30 - 12:00 Constructing Portfolios Of ILWs And Insurance-Linked Securities: Benchmarking Portfolio Performance

(Workshops A & B will run concurrently)

For investors new to catastrophe risks, there are bewildering array of different risks, regions, sourcing channels and maturity levels available for portfolio diversification. But what does the "optimal" allocation strategy look like, and how should investors align their risk/reward tolerance with the many options that are available? Attending this 2-hour long workshop will provide you with a detailed knowledge of the most effective ILS and ILW portfolio construction techniques, making you a better investor in this exciting asset class.

Note, this session will be conducted as a seminar rather than a workshop - "what to do", rather than "how to do". The seminar will focus on the issues that should be included in a "best practice" check list for fund managers, together with a reprise of current analytical developments.

What you will learn:

Examining the traditional ways of constructing an ILS / ILW portfolio
A closer look at silos and DFA analyses
Optimizing across "re-modeled" scenario sets
Objectives and risk constraints
Identifying risks other than catastrophe risks to consider, including:
- Model Risk
- Reinvestment Risk
- Collateral Risk
- Trapped Capital and Tail Risks
- Secondary Market Valuation Uncertainty
- Seasonality
- Reinsurance Cycle Risk
- Valuations effect with Aggregate Loss Accumulation
Liquidity considerations for ILS and ILWs
Reinsurance for ILS - ILW funds
Comparing Benchmark Portfolios with Actual Performance
Which Indices to compare

How you will benefit:

Understand how to balance diversity levels with your required risk-reward tolerance
Achieve visibility over the risk metrics for each region and peril combination
Walk away with a best practice check-list for ILS and ILW portfolio management

About your workshop leader:

morton_lane Morton Lane
President
Lane Financial LLC

Morton Lane is President of Lane Financial LLC. After a distinguished career in the world of financial derivatives, Dr. Lane has devoted the last decade to specializing in the intersection of insurance and capital markets. As a pioneer in the move to securitize insurance he has provided advice, been engaged in consulting for a wide list of clients as well as conducting several securitizations directly. He has also edited Alternative Risk Strategies, voted runner up to the Kulp-Wright risk management book award of 2002, describing the burgeoning world of insurance securitization. While in derivatives Dr. Lane was President of Discount Futures, voted 1989 Futures House of the Year by The International Financing Review and co-authored two books, The Treasury Bond Basis and Eurodollar Futures and Options, which have become industry standards. He has taught at the London Graduate School of Business, The University of Chicago and the University of New South Wales. Dr. Lane is a graduate of the University of Birmingham and earned his Ph. D. at the University of Texas.

12:30 Registration

1:00 - 3:30 Workshop C: 360° Risk Management For Life Settlement Portfolios

Investing in life settlements is a complicated business with a substantial number of fundamental legal, structuring and taxation issues involved in each investment transaction. These critical concerns must be properly addressed by fund sponsors and investors in order to maximize their returns. This workshop will provide investors, fund managers, and others involved in the life settlements industry with the tools they need properly to create investment vehicles to acquire and manage life settlements while reducing risk - whether it's the risk of unexpected longevity, inefficient taxation, sub-optimal policy selection and pricing, as well as legal, regulatory and liquidity risks. This intensive "must attend" workshop is designed for those seeking to invest with confidence!

What You Will Learn:

A close look at the life settlement origination process and the techniques of proper due diligence to safeguard against failures of insurable interest and other asset quality issues
Updates on the ever-changing litigation and regulatory environment
Understanding of the complexities of life expectancy estimates and how they impact the policy selection and pricing process
Exploration of potential investment structures for life settlement investments and the application of federal and state securities, investment regulation and related laws to these transactions
Determination of the right legal structure and right jurisdiction to help mitigate tax issues, such as the potential impact of the recent IRS rulings affecting the secondary life insurance market
Examination of risks to the holders of life settlement investments and alternative derivative and synthetic strategies to mitigate liquidity, currency, credit and exit risks associated with a life settlement portfolio

How You Will Benefit:

Invest in confidence
Get a comprehensive understanding of the risks involved with investing in life settlements before you commit capital
Walk away with the most cost-effective strategies for reducing the riskiness of your life settlement investments

Workshop leaders:

brian_casey Brian Casey
Partner
Locke Lord Bissell & Liddell

mike_fasano Mike Fasano
President
Fasano Associates

3:30 Registration

4:00 - 6:30 Workshop D: Making Better Use Of Catastrophe Models

Catastrophe models are a criticial part of the puzzle for investors in non-life ILS, but there are few outside the modeling agencies themselves who understand exactly how the models are designed. In this workshop, take a look "under the hood" of some of the world's most important and popular catastrophe models, and learn how to make better use of models in your investment calculations.

What You Will Learn:

Understand how catastrophe models combine actuarial science, engineering, seismology, metereology and expert opinion
Examine the interrelationship between hazard, inventory and vulnerability values within cat models
Gain a better sense of the ways catastrophe models are used in the structuring - and choice - of cat bond triggers

How You Will Benefit:

Learn what the implications are of discrepancies between different catastrophe models
Become a more sophisticated cat bond investor by better understanding the relationship between modeled values and cat bond pricing

Workshop leader:

glen_daraskevich Glen Daraskevich
SVP
Karen Clarke