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on Insurance Economics |
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Issue of 2008‒11‒04
three papers chosen by Soumitra K Mallick Indian Institute of Social Welfare and Bussiness Management |
| By: | Mathieu Gatumel (Axa - AXA); Dominique Guegan (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris) |
| 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. |
| Date: | 2008–01 |
| URL: | http://d.repec.org/n?u=RePEc:hal:paris1:halshs-00235354_v1&r=ias |
| By: | Mathieu Gatumel (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I); Dominique Guegan (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris) |
| Abstract: | This paper aims to provide a dynamic analysis of the insurance linked securities index. We are discussing the behaviour of the index for three years and pointing out the consequences of some major events like Katrina or the last and current financial crisis. Some stylized facts of the index, like the non-Gaussianity, the asymmetry or the clusters of volatility, are highlighted. We are using some GARCH-type models and the generalized hyperbolic distributions in order to capture these elements. The GARCH in Mean model with a Normal Inverse Gaussian distribution seems to be very efficient to fit the log-returns of the insurance linked securities index. |
| Keywords: | Insurance Linked Securities, Garch-type models, Normal Inverse Gaussian Distribution |
| Date: | 2008–09 |
| URL: | http://d.repec.org/n?u=RePEc:hal:paris1:halshs-00320378_v1&r=ias |
| By: | Omar Paccagnella (University of Padua); Vincenzo Rebba (University of Padua); Guglielmo Weber (University of Padua) |
| Abstract: | Using data from SHARE (Survey of Health, Ageing and Retirement in Europe), we analyze the effect of having a voluntary health insurance policy (VPHI) on out-of-pocket (OOP) health spending for individuals aged 50 or more in a host of European countries. We control for self selection into VPHI policy holding, and find that VPHI policy holders do not have lower OOP's than the rest of the population. In Southern European countries and Austria they even spend more. We also find that the main determinants of VPHI are different in each country and this reflects the differences in the underlying health care systems. |
| Date: | 2008–10 |
| URL: | http://d.repec.org/n?u=RePEc:pad:wpaper:0086&r=ias |