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Towards an understanding approach of the insurance linked securities market

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Author Info
Mathieu Gatumel () (Axa et Centre d'Economie de la Sorbonne)
Dominique Guegan () (Centre d'Economie de la Sorbonne et Paris School of Economics)

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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.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2008/B08006.pdf
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Publisher Info
Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number b08006.

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Length: 27 pages
Date of creation: Jan 2008
Date of revision:
Handle: RePEc:mse:cesdoc:b08006

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Web page: http://ces.univ-paris1.fr/
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Related research
Keywords: Insurance linked securities; cat. bonds; market price of risk.;

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Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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This page was last updated on 2009-11-23.

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