Dynamic Analysis of the Insurance Linked Securities Index

Mathieu Gatumel () and Dominique Guegan ()
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Mathieu Gatumel: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
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 nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

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Abstract: This paper aims to provide a dynamic analysis of the insurance linked securities index. We are discussing the behaviour of the index for three years and pointing out the consequences of some major events like Katrina or the last and current financial crisis. Some stylized facts of the index, like the non-Gaussianity, the asymmetry or the clusters of volatility, are highlighted. We are using some GARCH-type models and the generalized hyperbolic distributions in order to capture these elements. The GARCH in Mean model with a Normal Inverse Gaussian distribution seems to be very efficient to fit the log-returns of the insurance linked securities index.

Keywords: Normal Inverse Gaussian Distribution; Insurance Linked Securities; Garch-type models; Titrisation de risques d'assurance; Modèles de type GARCH; Distribution NIG (search for similar items in EconPapers)
Date: 2008-09
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00320378v1
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Published in 2008

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Working Paper: Dynamic analysis of the insurance linked securities index (2008)
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