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Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity

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Cited by:

  1. Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela, 2021. "Hawkes processes in insurance: Risk model, application to empirical data and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 107-124.
  2. Herbertsson, Alexander & Jang, Jiwook & Schmidt, Thorsten, 2011. "Pricing basket default swaps in a tractable shot noise model," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1196-1207, August.
  3. Herbertsson, Alexander & Jang, Jiwook & Schmidt, Thorsten, 2009. "Pricing basket default swaps in a tractable shot-noise model," Working Papers in Economics 359, University of Gothenburg, Department of Economics.
  4. Masuda, H. & Yoshida, N., 2005. "Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1167-1186, July.
  5. Chernobai, Anna & Yildirim, Yildiray, 2008. "The dynamics of operational loss clustering," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2655-2666, December.
  6. Angelos Dassios & Jiwook Jang & Hongbiao Zhao, 2019. "A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance," Risks, MDPI, vol. 7(4), pages 1-18, October.
  7. Muhsin Tamturk & Dominic Cortis & Mark Farrell, 2020. "Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19," Risks, MDPI, vol. 8(4), pages 1-13, December.
  8. Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
  9. Chen, Zezhun & Dassios, Angelos, 2022. "Cluster point processes and Poisson thinning INARMA," LSE Research Online Documents on Economics 113652, London School of Economics and Political Science, LSE Library.
  10. Wu, Yang-Che & Chung, San-Lin, 2010. "Catastrophe risk management with counterparty risk using alternative instruments," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 234-245, October.
  11. Lai, Van Son & Parcollet, Mathieu & Lamond, Bernard F., 2014. "The valuation of catastrophe bonds with exposure to currency exchange risk," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 243-252.
  12. Marco Minozzo & Silvia Centanni, 2012. "Monte Carlo likelihood inference for marked doubly stochastic Poisson processes with intensity driven by marked point processes," Working Papers 11/2012, University of Verona, Department of Economics.
  13. Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2023. "Shot-noise cojumps: exact simulation and option pricing," LSE Research Online Documents on Economics 111537, London School of Economics and Political Science, LSE Library.
  14. Liu, Guo & Jin, Zhuo & Li, Shuanming & Zhang, Jiannan, 2022. "Stochastic asset allocation and reinsurance game under contagious claims," Finance Research Letters, Elsevier, vol. 49(C).
  15. Yiqing Chen, 2019. "A Renewal Shot Noise Process with Subexponential Shot Marks," Risks, MDPI, vol. 7(2), pages 1-8, June.
  16. Thorsten Schmidt, 2016. "Shot-Noise Processes in Finance," Papers 1612.06616, arXiv.org.
  17. Yinghui Dong & Kam C. Yuen & Guojing Wang & Chongfeng Wu, 2016. "A Reduced-Form Model for Correlated Defaults with Regime-Switching Shot Noise Intensities," Methodology and Computing in Applied Probability, Springer, vol. 18(2), pages 459-486, June.
  18. Carolyn W. Chang & Jack S. K. Chang, 2017. "An Integrated Approach to Pricing Catastrophe Reinsurance," Risks, MDPI, vol. 5(3), pages 1-12, September.
  19. Angelos Dassios & Hongbiao Zhao, 2014. "A Markov Chain Model for Contagion," Risks, MDPI, vol. 2(4), pages 1-22, November.
  20. Kim, Jeong-Hoon & Ma, Yong-Ki & Park, Chan Yeol, 2016. "Joint survival probability via truncated invariant copula," Chaos, Solitons & Fractals, Elsevier, vol. 85(C), pages 68-76.
  21. Jang, Ji-Wook & Krvavych, Yuriy, 2004. "Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 97-111, August.
  22. Alan Genaro & Adilson Simonis, 2015. "Estimating doubly stochastic Poisson process with affine intensities by Kalman filter," Statistical Papers, Springer, vol. 56(3), pages 723-748, August.
  23. Giuricich, Mario Nicoló & Burnecki, Krzysztof, 2019. "Modelling of left-truncated heavy-tailed data with application to catastrophe bond pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 498-513.
  24. Hillairet, Caroline & Réveillac, Anthony & Rosenbaum, Mathieu, 2023. "An expansion formula for Hawkes processes and application to cyber-insurance derivatives," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 89-119.
  25. Marcos Escobar & Peter Hieber & Matthias Scherer, 2014. "Efficiently pricing double barrier derivatives in stochastic volatility models," Review of Derivatives Research, Springer, vol. 17(2), pages 191-216, July.
  26. Hainaut, Donatien, 2021. "Moment generating function of non-Markov self-excited claims processes," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 406-424.
  27. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
  28. Jarrow, Robert A., 2010. "A simple robust model for Cat bond valuation," Finance Research Letters, Elsevier, vol. 7(2), pages 72-79, June.
  29. Angelos Dassios & Xin Dong, 2014. "Stationarity of Bivariate Dynamic Contagion Processes," Papers 1405.5842, arXiv.org.
  30. Truong, Chi & Trück, Stefan, 2016. "It’s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events," European Journal of Operational Research, Elsevier, vol. 253(3), pages 856-868.
  31. Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
  32. Egami, Masahiko & Young, Virginia R., 2008. "Indifference prices of structured catastrophe (CAT) bonds," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 771-778, April.
  33. Nick Georgiopoulos, 2017. "Pricing catastrophe bonds with multistage stochastic programming," Computational Management Science, Springer, vol. 14(3), pages 297-312, July.
  34. Yan, Jun, 2017. "Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 71-79.
  35. Thorsten Schmidt, 2014. "Catastrophe Insurance Modeled by Shot-Noise Processes," Risks, MDPI, vol. 2(1), pages 1-22, February.
  36. Macci, Claudio & Torrisi, Giovanni Luca, 2011. "Risk processes with shot noise Cox claim number process and reserve dependent premium rate," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 134-145, January.
  37. Dimitrova, Dimitrina S. & Ignatov, Zvetan G. & Kaishev, Vladimir K. & Tan, Senren, 2020. "On double-boundary non-crossing probability for a class of compound processes with applications," European Journal of Operational Research, Elsevier, vol. 282(2), pages 602-613.
  38. Axel Finke & Adam Johansen & Dario Spanò, 2014. "Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(3), pages 577-609, June.
  39. Hainaut, Donatien, 2021. "Moment generating function of non-Markov self-excited claims processes," LIDAM Discussion Papers ISBA 2021028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  40. Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew, 2019. "Valuation of contingent convertible catastrophe bonds — The case for equity conversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 238-254.
  41. Dassios, Angelos & Zhao, Hongbiao, 2017. "Efficient simulation of clustering jumps with CIR intensity," LSE Research Online Documents on Economics 74205, London School of Economics and Political Science, LSE Library.
  42. Jaimungal, Sebastian & Wang, Tao, 2006. "Catastrophe options with stochastic interest rates and compound Poisson losses," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 469-483, June.
  43. Simon Pojer & Stefan Thonhauser, 2023. "The Markovian Shot-noise Risk Model: A Numerical Method for Gerber-Shiu Functions," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-26, March.
  44. Perrakis, Stylianos & Boloorforoosh, Ali, 2013. "Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3157-3168.
  45. Andreas Eichler & Gunther Leobacher & Michaela Szolgyenyi, 2016. "Utility Indifference Pricing of Insurance Catastrophe Derivatives," Papers 1607.01110, arXiv.org, revised May 2017.
  46. Jang, Jiwook & Dassios, Angelos & Zhao, Hongbiao, 2018. "Moments of renewal shot-noise processes and their applications," LSE Research Online Documents on Economics 87428, London School of Economics and Political Science, LSE Library.
  47. Avanzi, Benjamin & Wong, Bernard & Yang, Xinda, 2016. "A micro-level claim count model with overdispersion and reporting delays," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 1-14.
  48. Fujita, Takahiko & 藤田, 岳彦 & Ishimura, Naoyuki & 石村, 直之 & Tanaka, Daichi, 2008. "An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 49(2), pages 67-74, December.
  49. Schatz, Michael & Wheatley, Spencer & Sornette, Didier, 2022. "The ARMA Point Process and its Estimation," Econometrics and Statistics, Elsevier, vol. 24(C), pages 164-182.
  50. Angelos Dassios & Hongbiao Zhao, 2017. "Efficient Simulation of Clustering Jumps with CIR Intensity," Operations Research, INFORMS, vol. 65(6), pages 1494-1515, December.
  51. Jang, Jiwook & Dassios, Angelos, 2013. "A bivariate shot noise self-exciting process for insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 524-532.
  52. Onno Boxma & Michel Mandjes, 2021. "Shot-noise queueing models," Queueing Systems: Theory and Applications, Springer, vol. 99(1), pages 121-159, October.
  53. Krzysztof Burnecki & Mario Nicoló Giuricich, 2017. "Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing," Risks, MDPI, vol. 5(4), pages 1-19, December.
  54. Carolyn W. Chang & Jack S. K. Chang & Min‐Teh Yu & Yang Zhao, 2020. "Portfolio optimization in the catastrophe space," European Financial Management, European Financial Management Association, vol. 26(5), pages 1414-1448, November.
  55. Jiwook Jang & Rosy Oh, 2020. "A Bivariate Compound Dynamic Contagion Process for Cyber Insurance," Papers 2007.04758, arXiv.org.
  56. Jang, Jiwook & Qu, Yan & Zhao, Hongbiao & Dassios, Angelos, 2023. "A Cox model for gradually disappearing events," LSE Research Online Documents on Economics 112754, London School of Economics and Political Science, LSE Library.
  57. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019. "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics 102043, London School of Economics and Political Science, LSE Library.
  58. Ben Ammar, Semir & Braun, Alexander & Eling, Martin, 2015. "Alternative Risk Transfer and Insurance-Linked Securities: Trends, Challenges and New Market Opportunities," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 56, number 56.
  59. Liu, Wenyue & Cadenillas, Abel, 2023. "Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 69-93.
  60. Hieber, Peter & Scherer, Matthias, 2012. "A note on first-passage times of continuously time-changed Brownian motion," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 165-172.
  61. Jiwook Jang & Jong Jun Park & Hyun Jin Jang, 2018. "Catastrophe Insurance Derivatives Pricing Using A Cox Process With Jump Diffusion Cir Intensity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-20, November.
  62. Chang, Lung-fu & Hung, Mao-wei, 2009. "Analytical valuation of catastrophe equity options with negative exponential jumps," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 59-69, February.
  63. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 55-65.
  64. Nicola Cufaro Petroni & Piergiacomo Sabino, 2020. "Gamma Related Ornstein-Uhlenbeck Processes and their Simulation," Papers 2003.08810, arXiv.org.
  65. Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2021. "Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets," Papers 2105.07524, arXiv.org.
  66. Braun, Alexander, 2011. "Pricing catastrophe swaps: A contingent claims approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 520-536.
  67. Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2023. "Optimal dividend strategies for a catastrophe insurer," Papers 2311.05781, arXiv.org.
  68. D. T. Koops & O. J. Boxma & M. R. H. Mandjes, 2017. "Networks of $$\cdot /G/\infty $$ · / G / ∞ queues with shot-noise-driven arrival intensities," Queueing Systems: Theory and Applications, Springer, vol. 86(3), pages 301-325, August.
  69. Massimo Arnone & Michele Leonardo Bianchi & Anna Grazia Quaranta & Gian Luca Tassinari, 2021. "Catastrophic risks and the pricing of catastrophe equity put options," Computational Management Science, Springer, vol. 18(2), pages 213-237, June.
  70. Jang Jiwook, 2009. "The Cost of Delay in a Mortgage/Credit Loan Portfolio," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 4(1), pages 1-14, November.
  71. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," LSE Research Online Documents on Economics 64051, London School of Economics and Political Science, LSE Library.
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