Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "2700"
  #_source: array:26 [
    "id" => "2700"
    "slug" => "the-pricing-of-insurance-linked-securities-under-interest-rate-uncertainty"
    "yearMonth" => "2002-01"
    "year" => "2002"
    "title" => "The Pricing of Insurance-linked Securities under Interest Rate Uncertainty"
    "description" => "PONCET, P. et VAUGIRARD, V.E. (2002). The Pricing of Insurance-linked Securities under Interest Rate Uncertainty. <i>Journal of Risk Finance</i>, pp. 48-59."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "VAUGIRARD V.E."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2021-07-13 14:31:00"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "48-59"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Nous évaluons par arbitrage des obligations liées à des contrats d'assurance des risques naturels dans un cadre de taux d'intérêt Gaussien. La méthode d'évaluation utilise les techniques de changement de numéraire et de temps. Les prix et taux de rentabilité de ces obligations dépendent des facteurs taux d'intérêt et risque naturel. Leur duration est en général plus élevée que la duration de Macaulay des obligations d'Etat traditionnelles."
      "en" => "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."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-22T02:21:49.000Z"
    "docTitle" => "The Pricing of Insurance-linked Securities under Interest Rate Uncertainty"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, VAUGIRARD V.E."
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, VAUGIRARD V.E.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2002</span>"
    "keywordList" => ""
    "docPreview" => "<b>The Pricing of Insurance-linked Securities under Interest Rate Uncertainty</b><br><span>2002-01 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">The Pricing of Insurance-linked Securities under Interest Rate Uncertainty</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.028659
  +"parent": null
}