Centro de Documentación de Fundación MAPFRE - Catastrophe risk and the implied volatility smile

MAP20200015840

Catastrophe risk and the implied volatility smile / Semir Ben Ammar

Sumario: 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

En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/06/2020 Volumen 87 Número 2 - junio 2020 , p. 381-405

1. Riesgos extraordinarios . 2. Seguro de daños patrimoniales . 3. Catástrofes naturales . 4. Desastres naturales . 5. Huracanes . I. Título.