This paper aims at presenting the insurance cost-of-capital com- putation issue. It highlights two methodologies introduced by Chief Risk Of- ficer Forum (2008) to perform the cost-of-capital rate and which more or less justify the risk premium adopted by supervisory authorities. These...

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...

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...

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,...

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...

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 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...