Valuation of risk in non-life insurance.

Summary This thesis focuses on the valuation of risk in non-life insurance. It is built on 5 main contributions. First, we provide an example of non-life insurance risk through the risk of default of reinsurers. A state of the reinsurance sector, the ways to measure the exposure of insurers to this risk and the stakes in terms of reinsurance policy are exposed. Then, three chapters are devoted to insurance linked securities. Chapter 2 presents the data that we have been able to collect over the past three years, relating to both the primary and secondary markets. Chapter 3 highlights the market price of risk in this market. Chapter 4 deals with a dynamic analysis of the insurance linked securities spread index. These three chapters allow us to identify the main factors that govern returns in the market: investor uncertainty, diversification effects and loss experience. These elements finally contribute to present in chapter 5 our philosophy on a relevant cost of capital for insurance companies. We analyze the traditional approaches used in the insurance industry and propose a new way to deal with them. It appears that the price of risk must depend on the risk basket to which it belongs, the level of risk considered and the period.