Gérard de LA MARTINIERE Chairman FFSA Monte-Carlo Rendezvous Gérard de LA MARTINIERE Chairman FFSA Monte-Carlo Rendezvous 9 September 2003, Monte-Carlo.

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Presentation transcript:

Gérard de LA MARTINIERE Chairman FFSA Monte-Carlo Rendezvous Gérard de LA MARTINIERE Chairman FFSA Monte-Carlo Rendezvous 9 September 2003, Monte-Carlo CAUSES and LONG TERM CONSEQUENCES of ASSET VOLATILITY on INSURANCE

Tuesday 9th September FFSA – (data source : ECOWIN) Market situation

Tuesday 9th September FFSA – (data source : ECOWIN) Stock price fall & overreaction of insurance  Three main over/underreaction turning points

Tuesday 9th September FFSA – (data source : ECOWIN) An exuberance not totally irrational  … but a turning point in autumn 2000

Tuesday 9th September FFSA – (data source : ECOWIN) Price’s correlation with expected return  … particularly during the fall of stock prices

Tuesday 9th September FFSA – (data source : ECOWIN) Expected return driven by interest rate  … but its rise after mid 2000 is not

Tuesday 9th September FFSA – (data source : ECOWIN) Risk premium driven by business sentiment  … but its rise since 2002 is not

Tuesday 9th September FFSA – (data source : ECOWIN) Decomposition of price variation since 1993  …expected return explains most price variations

Tuesday 9th September FFSA – (data source : ECOWIN) Decomposition of expected return  …underlines the crucial role of the risk premium

Tuesday 9th September FFSA – (data source : ECOWIN) Specificity of insurance market situation

Tuesday 9th September FFSA – (data source : ECOWIN) Recent overreaction of insurance quotation  … overreaction during the recent falling episode

Tuesday 9th September FFSA – (data source : ECOWIN) Growing expected return gap vs market  … exploding between mid 2002 & mid 2003

Tuesday 9th September FFSA – (data source : ECOWIN) Decomposition of price variation since 1993  … negative contribution of the risk premium

Tuesday 9th September FFSA – (data source : ECOWIN) A not foreseeable overreaction

Tuesday 9th September FFSA – (data source : ECOWIN) Perspectives

Whole market perspectives  … clear upturn perspectives

Tuesday 9th September FFSA – (data source : ECOWIN) Insurance market perspectives  … upturn so as for the whole market

Tuesday 9th September FFSA – (data source : ECOWIN) Conclusions What lessons from the current financial crisis ? What lessons from the current financial crisis ?