Securitization of pandemic risk by using coronabond.

IF 1.5 Q3 BUSINESS, FINANCE Financial Markets and Portfolio Management Pub Date : 2023-04-17 DOI:10.1007/s11408-023-00425-2
Adlane Haffar, Éric Le Fur, Mohamed Khordj
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Abstract

This article investigates the pandemic risk coverage within the European Union member states through insurance securitization. This strategy allows the transfer of health risks from the insurance market to the financial markets. We focus on the financial market crisis caused by the COVID-19 pandemic to securitize the losses caused by the latter. Over the period from 24/01/2020 (the first proven case of contamination in Europe) to 31/03/2020 (end of the dramatic decrease in financial markets), we apply the extreme value theory allowing the selection of the trigger threshold. We identify an immediate reaction of the financial markets following a pandemic shock, the effect of which fades after a few days. The response of stock market indices, measured by the fluctuation of return rates, is not very high. Nevertheless, the reaction of the financial markets is sufficient for the corona bond triggering, provided that the threshold for triggering the incidence rate is optimal. In addition, the securitization of insurance risk could be an alternative process to the classic risk transfer techniques such as co-insurance and reinsurance. Finally, a reinsurance pool dedicated to the insurance scheme's management against the effects of a pandemic is crucial for insurance securitization. These results could have implications for various actors such as insurers, financial investors, and States.

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利用新冠债券实现疫情风险证券化。
本文通过保险证券化对欧盟成员国的疫情风险覆盖范围进行了调查。这一策略允许将健康风险从保险市场转移到金融市场。我们关注新冠肺炎疫情造成的金融市场危机,将后者造成的损失证券化。从2020年1月24日(欧洲第一个被证实的污染案例)到2020年3月31日(金融市场急剧下降的结束),我们应用了极值理论,允许选择触发阈值。我们发现,金融市场在疫情冲击后会立即做出反应,其影响在几天后就会消退。以回报率的波动衡量,股市指数的反应并不是很高。然而,只要触发发病率的阈值是最优的,金融市场的反应就足以触发电晕债券。此外,保险风险证券化可能是共同保险和再保险等经典风险转移技术的替代过程。最后,专门用于保险计划应对疫情影响的再保险池对保险证券化至关重要。这些结果可能会对保险公司、金融投资者和国家等各种行为者产生影响。
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来源期刊
CiteScore
3.20
自引率
0.00%
发文量
21
期刊介绍: The journal Financial Markets and Portfolio Management invites submissions of original research articles in all areas of finance, especially in – but not limited to – financial markets, portfolio choice and wealth management, asset pricing, risk management, and regulation. Its principal objective is to publish high-quality articles of innovative research and practical application. The readers of Financial Markets and Portfolio Management are academics and professionals in finance and economics, especially in the areas of asset management. FMPM publishes academic and applied research articles, shorter ''Perspectives'' and survey articles on current topics of interest to the financial community, as well as book reviews. All article submissions are subject to a double-blind peer review. http://www.fmpm.org Officially cited as: Financ Mark Portf Manag
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