Abstract

http://ssrn.com/abstract=1924921
 
 

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Towards an Understanding Approach of the Insurance Linked Securities Market


Mathieu Gatumel


Université de Savoie - Institut de Recherche en Gestion et Économie (IREGE); French National Center for Scientific Research (CNRS) - Centre de Recherches Appliquées à la Gestion (CERAG)

Dominique Guegan


Universite Paris 1 Pantheon-Sorbonne

May 29, 2009


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.

Number of Pages in PDF File: 26

Keywords: insurance linked securities, cat. bonds, market price of risk.

JEL Classification: G10, G12, G14

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Date posted: September 10, 2011  

Suggested Citation

Gatumel, Mathieu and Guegan, Dominique, Towards an Understanding Approach of the Insurance Linked Securities Market (May 29, 2009). Available at SSRN: http://ssrn.com/abstract=1924921 or http://dx.doi.org/10.2139/ssrn.1924921

Contact Information

Mathieu Gatumel (Contact Author)
Université de Savoie - Institut de Recherche en Gestion et Économie (IREGE) ( email )
4 Chemin de Bellevue
BP 80439
Annecy-le-Vieux, 74944
France
French National Center for Scientific Research (CNRS) - Centre de Recherches Appliquées à la Gestion (CERAG) ( email )
150 rue de la Chimie, BP47
Grenoble Cedex 9, 38040
France
+33 4 76 28 45 78 (Phone)
Dominique Guegan
Universite Paris 1 Pantheon-Sorbonne ( email )
106 avenue de lhopital
75634 Paris Cedex 13
Paris, IL
France
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