Opciones HuRLO: una clase de derivado meteorológico para la protección frente al riesgo de huracanes
Publicado
jun 8, 2021
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Resumen
Este artículo analiza las características, el funcionamiento y la estructura de un nuevo derivado meteorológico definido como una opción sobre commodities que protege contra el riesgo de que una determinada zona costera de los EE.UU. se vea afectada por la ocurrencia de un huracán durante un año determinado.
Keywords
derivados meteorológicos, riesgo de huracanes, gestión del riesgo, pari-mutuelweather derivatives, hurricane risk, risk management, pari-mutuel
References
Boyer M., Breton, M., & François, P. (2020). Designing Insurance against extreme weather risk: the case of HuRLOs. En Ecological, Societal, and Technological Risks and the financial sector. Edited by Thomas Walker-Dieter Gramlich-Mohammad Bitar-Pedram Fardnia. Switzerland: Palgrave Macmillan, pp. 91-122
Cummins, J. D., & Barrieu, P. (2013). Innovations in insurance markets: Hybrid and securitized risk transfer solutions. In G. Dionne (Ed.), Handbook of insurance. Boston: Kluwer Academic Publishers.
Meyer, R. J., & Horowitz, M. (2014). A novel financial market for mitigating hurricane risk. Part I: Market structure and model results. Weather, Climate, and Society, 6, 307–317.
Meyer, R. J., Horowitz, M., Wilks, D. S., & Horowitz, K. A. (2014). A novel financial market for mitigating hurricane risk. Part II: Empirical validation. Weather, Climate, and Society, 6, 318–330.
Ou-Yang, C. (2010). Managing catastrophic risk by alternative risk transfer instruments. University of Pennsylvania Publicly accessible Dissertations 220. Recuperado de: http://repository.upenn.edu/edissertations/220.
Ou-Yang, C., & Doherty, N. (2011). Pari-mutuel insurance for hedging against catastrophic risk. Wharton School Working Paper # 2011-08.
Pérez-Fructuoso, M. J. (2005). La titulización del riesgo catastrófico: descripción y análisis de los cat bonds (Bonos de Catástrofes). Revista Española de Seguros, 121, 2005, pp. 75-92.
Weather Risk Solutions (2010a). Hurricane Risk Landfall Option - Questions & Answers. Recuperado de: http://cyrus4.lightlink.com/wrs/faq.php
Weather Risk Solutions (2010b). Hurricane Risk Landfall Option – Contract Specifications. Recuperado de: http://cyrus4.lightlink.com/wrs/faq.php
Weather Risk Solutions (2010c). HuRLOS - Definitons & Methodology. Recuperado de: http://cyrus4.lightlink.com/wrs/faq.php
Weather Risk Solutions (2010d). WRS Electronic Trading Platform. Trading Rules. Recuperado de: http://cyrus4.lightlink.com/wrs/faq.php
Weather Risk Solutions (2010e). How Are HuRLOsTM Priced? Recuperado de: http://cyrus4.lightlink.com/wrs/faq.php
Wilks, D. S. (2010). A novel financial market structure for mitigating hurricane risk. Proceedings of the 20th Conference on Probability and Statistics in the Atmospheric Sciences.
Cummins, J. D., & Barrieu, P. (2013). Innovations in insurance markets: Hybrid and securitized risk transfer solutions. In G. Dionne (Ed.), Handbook of insurance. Boston: Kluwer Academic Publishers.
Meyer, R. J., & Horowitz, M. (2014). A novel financial market for mitigating hurricane risk. Part I: Market structure and model results. Weather, Climate, and Society, 6, 307–317.
Meyer, R. J., Horowitz, M., Wilks, D. S., & Horowitz, K. A. (2014). A novel financial market for mitigating hurricane risk. Part II: Empirical validation. Weather, Climate, and Society, 6, 318–330.
Ou-Yang, C. (2010). Managing catastrophic risk by alternative risk transfer instruments. University of Pennsylvania Publicly accessible Dissertations 220. Recuperado de: http://repository.upenn.edu/edissertations/220.
Ou-Yang, C., & Doherty, N. (2011). Pari-mutuel insurance for hedging against catastrophic risk. Wharton School Working Paper # 2011-08.
Pérez-Fructuoso, M. J. (2005). La titulización del riesgo catastrófico: descripción y análisis de los cat bonds (Bonos de Catástrofes). Revista Española de Seguros, 121, 2005, pp. 75-92.
Weather Risk Solutions (2010a). Hurricane Risk Landfall Option - Questions & Answers. Recuperado de: http://cyrus4.lightlink.com/wrs/faq.php
Weather Risk Solutions (2010b). Hurricane Risk Landfall Option – Contract Specifications. Recuperado de: http://cyrus4.lightlink.com/wrs/faq.php
Weather Risk Solutions (2010c). HuRLOS - Definitons & Methodology. Recuperado de: http://cyrus4.lightlink.com/wrs/faq.php
Weather Risk Solutions (2010d). WRS Electronic Trading Platform. Trading Rules. Recuperado de: http://cyrus4.lightlink.com/wrs/faq.php
Weather Risk Solutions (2010e). How Are HuRLOsTM Priced? Recuperado de: http://cyrus4.lightlink.com/wrs/faq.php
Wilks, D. S. (2010). A novel financial market structure for mitigating hurricane risk. Proceedings of the 20th Conference on Probability and Statistics in the Atmospheric Sciences.
Cómo citar
Pérez Fructuoso, M. J. (2021). Opciones HuRLO: una clase de derivado meteorológico para la protección frente al riesgo de huracanes. Revista Ibero-Latinoamericana De Seguros, 30(54). https://doi.org/10.11144/Javeriana.ris54.ohcd
Sección
Sección Técnico-económica
Esta obra está bajo una licencia internacional Creative Commons Atribución 4.0.