SEASONALITY OF THE HURRICANE RISK IN INSURANCE-LINKED SECURITIES The main hurricane risk of insurance-linked securities, that of North Atlantic hurricanes, is seasonal as opposed to following uniform distribution. The hurricane season officially starts on June 1 and ends November 30. Very few hurricanes occur outside the hurricane season. Approximately 97% of all tropical storm activity happens during these six months. As the the above diagram, there is a pronounced peak of activity within the hurricane season, which lasts from August through October. Over three quarters of storms occur during this period. The percentage of hurricanes, in particular major hurricanes, is even greater: more than 95% of major hurricane (Category 3 and greater) days fall from August through October. Definition of hurricane season is rarely used in the offering documents for insurance-linked securities. Instead, specific dates determine the coverage period. Knowing when the hurricane season officially start...
Comments
Post a Comment