Catastrophe risk and the implied volatility smile

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Coleção: Artigos
Título: Catastrophe risk and the implied volatility smile / Semir Ben Ammar
Autor: Ben Ammar, Semir
Notas: 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.
Registros relacionados: 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
Materia / lugar / evento: Riesgos extraordinarios Seguro de daños patrimoniales Catástrofes naturales Desastres naturales Huracanes
Outras classificações: 328.1
Direitos: In Copyright (InC):
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