26 Pages Posted: 10 Sep 2011
Date Written: May 29, 2009
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: 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