risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … a simple extension of the long-run risk model …

risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … a simple extension of the long-run risk model …

construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi …

between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly …, suggesting a higher risk compensation for catastrophic events. We are able to link the insurance-specific tail risk component … derived from options with the risk spread from catastrophe bonds. Our results provide an accurate, high-frequency calculation …