Download this Paper Open PDF in Browser

Towards an Understanding Approach of the Insurance Linked Securities Market

26 Pages Posted: 10 Sep 2011  

Mathieu Gatumel

University of Savoy - 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

Date Written: 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.

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

JEL Classification: G10, G12, G14

Suggested Citation

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

Mathieu Gatumel (Contact Author)

University of Savoy - 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

Paper statistics

Downloads
89
Rank
244,083
Abstract Views
453