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Towards an understanding approach of the insurance linked securities market

Author

Listed:
  • Mathieu Gatumel

    (Axa - AXA)

  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

Abstract

The paper aims to present the insurance linked securities market behaviour, that has changed a lot the past three years, both in terms of structure and in terms of ceded risks. After having introduced some stylized facts characterizing the insurance linked securities we capture their market price of risk, following the methodologies of Wang (2004), Lane (2000) and Fermat Capital Management (2005). A dynamical study of the insurance linked securities is also provided in order to understand the elements driving the spreads : the consequences of the catastrophic events, the seasonality and the diversification effects between some different risks are highlighted.

Suggested Citation

  • Mathieu Gatumel & Dominique Guegan, 2008. "Towards an understanding approach of the insurance linked securities market," Post-Print halshs-00235354, HAL.
    • Handle: RePEc:hal:journl:halshs-00235354
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00235354
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    File URL: https://shs.hal.science/halshs-00235354/document
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    References listed on IDEAS

    as
    1. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    2. Geman, Helyette & Yor, Marc, 1997. "Stochastic time changes in catastrophe option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 185-193, December.
    3. Samuel Cox & Hal Pedersen, 2000. "Catastrophe Risk Bonds," North American Actuarial Journal, Taylor & Francis Journals, vol. 4(4), pages 56-82.
    4. Knut Aase, 1999. "An Equilibrium Model of Catastrophe Insurance Futures and Spreads," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 24(1), pages 69-96, June.
    5. J. David Cummins & Hèlyette Geman, 1993. "An Asian Option to the Valuation of Insurance Futures Contracts," Center for Financial Institutions Working Papers 94-03, Wharton School Center for Financial Institutions, University of Pennsylvania.
    6. Vivek J. Bantwal & Howard C. Kunreuther, 1999. "A Cat Bond Premium Puzzle?," Center for Financial Institutions Working Papers 99-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Mathieu Gatumel & Dominique Guegan, 2008. "Dynamic analysis of the insurance linked securities index," Documents de travail du Centre d'Economie de la Sorbonne b08049, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2. Mathieu Gatumel & Dominique Guegan, 2008. "Dynamic Analysis of the Insurance Linked Securities Index," Post-Print halshs-00320378, HAL.
    3. Makariou, Despoina & Barrieu, Pauline & Chen, Yining, 2021. "A random forest based approach for predicting spreads in the primary catastrophe bond market," LSE Research Online Documents on Economics 111529, London School of Economics and Political Science, LSE Library.
    4. Makariou, Despoina & Barrieu, Pauline & Chen, Yining, 2021. "A random forest based approach for predicting spreads in the primary catastrophe bond market," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 140-162.
    5. Despoina Makariou & Pauline Barrieu & Yining Chen, 2020. "A random forest based approach for predicting spreads in the primary catastrophe bond market," Papers 2001.10393, arXiv.org.

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    More about this item

    Keywords

    Insurance linked securities; cat. bonds; market price of risk.; market price of risk; obligations catastrophe; prix de marché du risqué.;
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