Artikel
Catastrophe insurance modeled by shot-noise processes
Shot-noise processes generalize compound Poisson processes in the following way: a jump (the shot) is followed by a decline (noise). This constitutes a useful model for insurance claims in many circumstances; claims due to natural disasters or self-exciting processes exhibit similar features. We give a general account of shot-noise processes with time-inhomogeneous drivers inspired by recent results in credit risk. Moreover, we derive a number of useful results for modeling and pricing with shot-noise processes. Besides this, we obtain some highly tractable examples and constitute a useful modeling tool for dynamic claims processes. The results can in particular be used for pricing Catastrophe Bonds (CAT bonds), a traded risk-linked security. Additionally, current results regarding the estimation of shot-noise processes are reviewed.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 2 ; Year: 2014 ; Issue: 1 ; Pages: 3-24 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
shot-noise processes
tail dependence
catastrophe derivatives
marked point process
minimum-distance estimation
self-exciting processes
CAT bonds
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schmidt, Thorsten
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2014
- DOI
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doi:10.3390/risks2010003
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Schmidt, Thorsten
- MDPI
Entstanden
- 2014
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