Towards an understanding approach of the insurance linked securities market

Mathieu Gatumel () and Dominique Guegan ()
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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 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: 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.

Keywords: Insurance linked securities; cat. bonds; market price of risk.; market price of risk; obligations catastrophe; prix de marché du risqué. (search for similar items in EconPapers)
Date: 2008-01
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00235354v1
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Citations: View citations in EconPapers (6)

Published in 2008

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