Insight and Intelligence on (Re)insurance Convergence with the Capital Markets

4 February 2012

Aggregate cat trading up

15 July 2010

Aggregate hurricane index options - which trigger based on the storm toll across an entire season - have proved a popular option in trading of 2010 catastrophe derivatives on the Chicago Mercantile Exchange (CME).

CME-traded hurricane index contracts (CHIs) have a parametric trigger based on physical hurricane attributes. Because they don't have minimum per-event triggers or maximum caps - and aggregate CHI values are often larger than traditional loss-based figures from Property Claim Services (PCS) - buyers have a higher...

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