IDEAS home Printed from https://ideas.repec.org/a/taf/uaajxx/v12y2008i3p221-227.html
   My bibliography  Save this article

Market Price of Insurance Risk Implied by Catastrophe Derivatives

Author

Listed:
  • Alexander Muermann

Abstract

Insurance derivatives facilitate the trading of insurance risks on capital markets, such as catastrophe derivatives that were traded on the Chicago Board of Trade. Simultaneously, insurance risks are traded through reinsurance portfolios. In this paper we make inferences about the market price of risk implied by the information embedded in the prices of these two assets.

Suggested Citation

  • Alexander Muermann, 2008. "Market Price of Insurance Risk Implied by Catastrophe Derivatives," North American Actuarial Journal, Taylor & Francis Journals, vol. 12(3), pages 221-227.
    • Handle: RePEc:taf:uaajxx:v:12:y:2008:i:3:p:221-227
    DOI: 10.1080/10920277.2008.10597518
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10920277.2008.10597518
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10920277.2008.10597518?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. J. David Cummins & Mary A. Weiss, 2009. "Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk‐Transfer Solutions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 493-545, September.
    2. Karl Demers‐Bélanger & Van Son Lai, 2020. "Diversification benefits of cat bonds: An in‐depth examination," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(5), pages 165-228, December.
    3. Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2015. "Alternative Risk Transfer and Insurance-Linked Securities: Trends, Challenges and New Market Opportunities," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 56, number 56.
    4. Nowak, Piotr & Romaniuk, Maciej, 2013. "Pricing and simulations of catastrophe bonds," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 18-28.
    5. Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
    6. Truong, Chi & Trück, Stefan, 2016. "It’s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events," European Journal of Operational Research, Elsevier, vol. 253(3), pages 856-868.
    7. Beer, Simone & Braun, Alexander, 2022. "Market-consistent valuation of natural catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 134(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:uaajxx:v:12:y:2008:i:3:p:221-227. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/uaaj .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.