Market Price of Insurance Risk Implied by Catastrophe Derivatives

Alexander Muermann

North American Actuarial Journal, 2008, vol. 12, issue 3, 221-227

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.

Date: 2008
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DOI: 10.1080/10920277.2008.10597518

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