Catastrophe risk and the implied volatility smile

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<title>Catastrophe risk and the implied volatility smile</title>
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<abstract displayLabel="Summary">Propertycasualty insurers are exposed to rare but severe natural disasters. This article analyzes the relation between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly steeper compared to the rest of the economy and exhibits a seasonal pattern due to hurricanes. We are able to link the insurance-specific tail risk component derived fromoptions with the risk spread fromcatastrophe bonds and global economic losses caused by catastrophes. Our results provide an accurate, high-frequency calculation for catastrophe risk linking the traditional derivatives market with insurance-linked securities.</abstract>
<note type="statement of responsibility">Semir Ben Ammar</note>
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<topic>Riesgos extraordinarios</topic>
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<topic>Catástrofes naturales</topic>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
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<text>01/06/2020 Volumen 87 Número 2 - junio 2020 , p. 381-405</text>
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