I am looking to learn more about insurance-linked securities. I work for an insurance company and am interested in catastrophe risks and cat bonds.

I have a good statistical background and master-level knowledge of financial engineering. I am looking to learn more technical/practical details on the pricing side of these derivatives.


1 Answer 1


I think you will find little beyond the standard actuarial literature on the underlying contracts, which are really just XL covers. Since these contracts are written in non-liquid markets risk neutral or market consistent pricing is not highly developed or doesn't even make a lot of sense. In any way most of the information is proprietary and non-public. The only place I know of where you can find public analysis is Morton Lane's site. You can register for free and have a look at their publications.

  • $\begingroup$ Is Antal's book of any value? actuaries.ch/fr/downloads/… (I haven't read it). $\endgroup$
    – nbbo2
    Dec 20, 2017 at 23:41
  • $\begingroup$ Yes, it is. But of course these are lecture notes on the basic concepts, so do not expect market colour or ILS specifics. $\endgroup$
    – g g
    Dec 21, 2017 at 7:47

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