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- Publisher
- Emerald Publishing
- Copyright
- Copyright © Emerald Group Publishing Limited
- ISSN
- 1526-5943
- DOI
- 10.1108/eb043494
- Publisher site
- See Article on Publisher Site
Abstract
In this article, the authors develop an arbitrage approach to valuing insurancelinked securities ILS for noncatastrophic events within a framework of stochastic interest rates. The prices of these transactions are driven by both an interest rate process and a nontrivial actuarial risk process. The authors find that the duration of ILS is, in most cases, higher than the Macaulay duration of riskfree bonds, which implies that the alleged relative outperformance of ILS is illusory.
Journal
The Journal of Risk Finance – Emerald Publishing
Published: Feb 1, 2002