HAA has built the most robust fair valuation framework into its risk analytics platform considering (1) the risk runoff due to seasonality and actual events; (2) general market price movement reflecting supply and demand (e.g., market risk margin); and (3) macroeconomic conditions particularly interest rate
CATASTROPHE RISK INDEX
Based on the fair valuation approach, various catastrophe risk indexes (by region by peril) can be built reflecting the forward-looking daily movement of all underlying securities.
ETF FOR CATASTROPHE RISK
Working with a large asset manager, we can use such indexes to build an exchange-traded fund (ETF) for catastrophe risk, which will greatly expand the investor base for ILS and thus substantially increase the market liquidity.