A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance

Artikel

In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the literature with self-exciting and external-exciting jumps. The first and second moments of this jump-diffusion process are used to calculate the insurance premium based on mean-variance principle. The Laplace transform of aggregated process is derived, and this leads to an application for pricing default-free bonds which could capture the impacts of both exogenous and endogenous shocks. Illustrative numerical examples and comparisons with other models are also provided.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Risks ; ISSN: 2227-9091 ; Volume: 7 ; Year: 2019 ; Issue: 4 ; Pages: 1-18 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: aggregate claims ; CIR process ; contagion risk ; default-free bond pricing ; hawkes process ; insurance premium ; self-exciting process

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Dassios, Angelos ; Jang, Jiwook ; Zhao, Hongbiao
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2019

Further information

• DOI: doi:10.3390/risks7040103
• Handle: http://hdl.handle.net/10419/257941
• Last update: 10.03.2025, 11:41 AM CET