Ten ILS units scored against the live market benchmark, a real cat-bond watchlist, a market-neutral long/short book, parametric tail capital, and a hedge optimizer — the trading side of the AFI engine. Move the benchmark and every signal reprices.
Fair spread = EL × benchmark × peril factor. Fair price = 100 + (market − fair spread) × 100 × term. Arb = fair − market price; BUY/SELL beyond the threshold. Tail: VaR = EL·e^(zσ−σ²/2), TVaR = EL·Φ(σ−z)/(1−c).
Observed public issuance (Artemis) vs the peril-adjusted fair multiple · ±0.15 band
Market-neutral pairs · P&L is pure relative value, no directional cat, mortality, or longevity risk
Parametric lognormal · sigma from the tail CV
Engage hedges clearing the efficiency hurdle within budget
Discrete event set · hedge offset capped at the engaged TVaR reduction · weighted EL cross-checks the parametric model