Towards an understanding approach of the insurance linked securities market

Mathieu Gatumel () and Dominique Guegan ()
Additional contact information
Mathieu Gatumel: Axa et Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.univ-paris1.fr
Dominique Guegan: Centre d'Economie de la Sorbonne et Paris School of Economics, https://cv.archives-ouvertes.fr/dominique-guegan

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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 (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2008-01
New Economics Papers: this item is included in nep-fmk, nep-ias and nep-rmg
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Citations: View citations in EconPapers (4)

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ftp://mse.univ-paris1.fr/pub/mse/CES2008/B08006.pdf (application/pdf)

Related works:
Working Paper: Towards an understanding approach of the insurance linked securities market (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:b08006

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