Catastrophe Insurance Modeled by Shot-Noise Processes

Risks

关键词: shot-noise processes;    tail dependence;    catastrophe derivatives;    marked point process;    minimum-distance estimation;    self-exciting processes;    CAT bonds;   

DOI  :  10.3390/risks2010003

来源: mdpi

【 摘 要 】

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.

【 授权许可】

CC BY   
© 2014 by the author; licensee MDPI, Basel, Switzerland.