Haffar Adlane, Le Fur Éric, Khordj Mohamed
Faculty of Mathematics (USTHB), MSTD Laboratory, University of Science and Technology Houari Boumédiène, Postbox 32, Bab Ezzouar, 16111 Algiers, Algeria.
INSEEC Grande Ecole, H19 Quai de Bacalan, 33000 Bordeaux, France.
Financ Mark Portf Mang. 2023 Apr 17:1-21. doi: 10.1007/s11408-023-00425-2.
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.
本文通过保险证券化研究了欧盟成员国的大流行风险承保情况。这一策略允许将健康风险从保险市场转移至金融市场。我们聚焦于由新冠疫情引发的金融市场危机，以便将疫情造成的损失进行证券化。在2020年1月24日（欧洲首例确诊感染病例）至2020年3月31日（金融市场急剧下跌结束）这段时间内，我们运用极值理论来选择触发阈值。我们发现金融市场在遭受大流行冲击后会立即做出反应，但其影响在几天后就会消退。以回报率波动衡量的股票市场指数的反应并不十分强烈。然而，只要发病率触发阈值是最优的，金融市场的反应就足以触发新冠债券。此外，保险风险证券化可能是一种替代传统风险转移技术（如共同保险和再保险）的过程。最后，一个专门用于管理针对大流行影响的保险计划的再保险池对于保险证券化至关重要。这些结果可能会对保险公司、金融投资者和各国等各类行为主体产生影响。
