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Prof. Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.

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Embedded-value securitization

Form of securitization in the insurance industry. In this case, the risk from a life insurance portfolio (pool) is transferred to a special purpose entity, which acts as a reinsurer. The special purpose vehicle passes on the risks from the policy portfolio – primarily mortality, longevity, lapse rate, regularity of premium payments, deterioration in the creditworthiness of the primary insurer – to investors by issuing securitized securities in several tranches and with different tranche thicknesses. In order to relieve the investors in the tranches of the multi-layered risks, portfolio insurance is sometimes offered here – although this then reduces the yield (return-reducing). In line with the content of the primary insurance policies, the maturities of these securitized securities are very long, often ten years or more. – Embedded value refers to the value of an insurance portfolio. This is calculated from – the adjusted net asset value, defined as the balance sheet equity plus the valuation reserves attributable to the owners of the company (valuation reserve: hidden reserves less hidden charges) plus – the present value of future net profits from the portfolio. – See Absence capitalism, Asset-backed securities, Poison securities, Insurance-linked securities, Pandemic, Premium arrears, Retrocession, Risk sharing, Securitization, XXX-Insurance-linked securitization.

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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
Professor Dr. Eckehard Krah, Dipl.rer.pol.
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