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Alexander Braun
Title
Prof. Dr.
Last Name
Braun
First name
Alexander
Email
alexander.braun@unisg.ch
Phone
+41 71 224 3653
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1 - 2 of 2
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PublicationLife Settlement Funds: Current Valuation Practices and Areas for ImprovementWe analyse the prevailing valuation practices in the settlement industry based on a sample of eleven funds that cover a large fraction of the current market. The most striking result is that a majority of asset managers seems to substantially overvalue their portfolios relative to the prices of recently closed comparable transactions. Drawing on market-consistent estimates with regard to medical underwriting, it is possible to trace back the observed discrepancies to inadequately low model inputs for life expectancies and discount rates. The consequences are a dissimilar treatment of investor groups in open-end fund structures as well as an unduly high compensation for managers and third parties. To address this predicament, we suggest defining life settlements as level 2 assets in the fair value hierarchy of IFRS 13, improving transparency and disclosure requirements, and developing new incentive compatible fee structures.Type: journal articleJournal: Risk Management and Insurance ReviewVolume: 19Issue: 2DOI: 10.1111/rmir.12042
Scopus© Citations 9 -
PublicationPerformance and Risks of Open-End Life Settlement FundsIn this paper, we comprehensively analyze open-end funds dedicated to investing in U.S. senior life settlements. We begin by explaining their business model and the roles of institutions involved in the transactions of such funds. Next, we conduct the first empirical analysis of life settlement fund return distributions as well as a performance measurement, including a comparison to other asset classes. Since the funds contained in our dataset cover a large fraction of this relatively young segment of the capital markets, representative conclusions can be derived. Even though the empirical results suggest that life settlement funds offer attractive returns paired with low volatility and are virtually uncorrelated with other asset classes, we find latent risk factors such as liquidity, longevity and valuation risks. Since these risks did generally not materialize in the past and are hence largely not reflected by the historical data, they cannot be captured by classical performance measures. Thus, caution is advised in order not to overestimate the performance of this asset class.Type: journal articleJournal: Journal of Risk and InsuranceVolume: 79Issue: 1
Scopus© Citations 18