The 2008 financial crisis has triggered various debates, ranging from the stability of the banking system to ethical issues. We want to look at it from a particular perspective: Credit derivatives have much in common with reinsurance, e.g. risk transfer via pooling and layering, scarce data, skewed loss distributions, and a limited number of specialised players in the market. This leads to a special mixture of mathematical/statistical and cultural challenges. Reinsurers have been struggling to cope with these, not always successfully, but they have learnt some lessons during their more-than-one century in business. Some culture established in the reinsurance world could possibly inspire markets like the credit derivatives market, however, the subtle differences between the two worlds matter: We will see that traditional reinsurance has built-in incentives for (some) fairness, while securitisation can facilitate opportunism.


Michael Fackler is a self-employed qualified actuary, consulting mainly on reinsurance pricing. He is also a lecturer of the German actuarial academy DAA and regularly publishes and speaks at conferences about reinsurance and related topics.

Michael studied mathematics at Munich and Pisa; his work experience includes ten years with leading reinsurers (Munich Re, Swiss Re group). He received awards relating to risk as diverse as the Hachemeister Prize of the Casualty Actuarial Society (best paper 2014) and a Bavarian lifesaving medal.


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