Market Price of Insurance Risk Implied by Catastrophe Derivatives |
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| Authors: | Alexander Muermann PhD |
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| Institution: | Department of Finance and Accounting , Vienna University of Economics and Business Administration , Heiligenst?dter Str. 46–48, A-1190 Wien , Austria |
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| Abstract: | Abstract Insurance derivatives facilitate the trading of insurance risks on capital markets, such as catastrophe derivatives that were traded on the Chicago Board of Trade. Simultaneously, insurance risks are traded through reinsurance portfolios. In this paper we make inferences about the market price of risk implied by the information embedded in the prices of these two assets. |
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