We develop an arbitrage approach to valuing insurance bonds for no-catastrophic events in a Gaussian interest rate framework. The pricing method implements techniques of change of both numeraire and time. Nature bond prices and yield spreads are driven by an interest-rate factor in addition to a nature-risk factor. The duration of insurance bonds is in most cases higher than the Macaulay duration of Treasury bonds.
PONCET, P. and VAUGIRARD, V.E. (2002). The Pricing of Insurance-linked Securities under Interest Rate Uncertainty. Journal of Risk Finance, pp. 48-59.