Abstract
Risk is difficult to measure - so difficult that no single measure seems robust enough for all circumstances. This is especially true of measuring the risk contained in insurance-linked securities. Insurance risk is usually asymmetrically skewed. As a conse-quence, traditional capital market risk measures - expected loss, probability of default, and the standard deviation of return out-comes - are less than perfect to the insurance task. Without a good risk measure, it is impossible to compare the risk-adjusted pricing of insurance-linked notes on a consistent basis. It is impossible to tell which securities are cheap and which are expensive. It is impossible to decide on their value relative to more traditional investments.
Original language | English (US) |
---|---|
Pages (from-to) | 71-86 |
Number of pages | 16 |
Journal | Journal of Risk Finance |
Volume | 1 |
Issue number | 1 |
DOIs | |
State | Published - 1999 |
Externally published | Yes |
ASJC Scopus subject areas
- Finance