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...

A shared belief in the financial industry is that markets are driven by two types of regimes. Bull markets would be characterized by high returns and low volatility whereas bear markets would display low returns coupled with high volatility. Modeling the dynam- ics of different asset classes...

A shared belief in the financial industry is that markets are driven by two types of regimes. Bull markets would be characterized by high returns and low volatil- ity whereas bear markets would display low returns coupled with high volatility. Modelling the dynamics of different asset classes...

We introduce a new measure of risk appetite in financial markets, based on the cross sectional behavior of excess returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the cross-sectional average of the individual probabilities...

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,...

For many assets and liabilities there exist deep and liquid markets so that the market value are reasily observed. However, for non-hedgeable risks, the market value of liabilities must be estimated. The Draft Solvency II Directive suggests in article 75 that the valuation of technical...

A shared belief in the financial industry is that markets are driven by two types of regimes: bull markets, characterized by high returns and low volatility, and bear markets, characterized by low returns coupled with high volatility. Modeling the dynamics of different asset classes (stocks,...

From 2008 to 2011, commodity markets experienced growing attention from the banking industry for various reasons: the summer 2008 oil price swing, the price surge in an ounce of gold, or sharp variations in agricultural prices. As a consequence, can we hypothesize the existence of a global...

For many assets and liabilities there exist deep and liquid markets so that the market value are reasily observed. However, for non-hedgeable risks, the market value of liabilities must be estimated. The Draft Solvency II Directive suggests in article 75 that the valuation of technical...