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Gestion et titrisation des risques de catastrophe naturelle par les options

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  • Adlane HAFFAR
  • Lubica HIKKEROVA

Abstract

This article deals with the issue of natural disaster risk coverage. We introduce a solution to cover this natural disaster risk through securitizations, first, by subscribing « options on total loss experience ratio» that are derivative products, the

Suggested Citation

  • Adlane HAFFAR & Lubica HIKKEROVA, 2014. "Gestion et titrisation des risques de catastrophe naturelle par les options," Working Papers 2014-384, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-384
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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_384.pdf
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    References listed on IDEAS

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    1. Gharbi, Sami & Sahut, Jean-Michel & Teulon, Frédéric, 2014. "R&D investments and high-tech firms' stock return volatility," Technological Forecasting and Social Change, Elsevier, vol. 88(C), pages 306-312.
    2. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    4. Jean-Michel Sahut & Sandrine Boulerne, 2014. "Flaws in Banking Governance," Working Papers 2014-290, Department of Research, Ipag Business School.
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    More about this item

    Keywords

    Total loss ratio; risk transfer; alternative risk; insurance; securitization; natural disaster option; reinsurance.;
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