University of New South Wales

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business operations and pricing and university of new south wales - All News and Analysis

• Insurance and Asset Pricing in Incomplete Markets With Heavy Tailed Risks

  BNET - 2004-05-18

  A model for pricing risks in incomplete markets using prices for traded assets and allowing for heavy tailed risks is developed. The approach used is based on an approximation that collapses to the CAPM for multi normal portfolios. The pricing result is derived as an approximation using elliptical distributions and...

  Tags: Asset, Risk, Asset Pricing, University Of New South Wales, Pricing Strategy, Asset Management, Pricing, Insurance, Marketing Research, Strategy, Operational Planning, Business Operations, Marketing, Corporate Insurance, Management

• Pricing of Catastrophe Reinsurance and Derivatives Using the Cox Process With Shot Noise Intensity

  BNET - 2002-11-08

  The study uses the Cox process or a doubly stochastic Poisson process to model the claim arrival process for catastrophic events. The shot noise process is used for the claim intensity function within the Cox process. The Cox process with shot noise intensity is examined by piecewise deterministic Markov process...

  Tags: University Of New South Wales, Derivatives, Reinsurance, Pricing Strategy, Pricing, Insurance, Marketing Research, Marketing, Business Operations, Corporate Insurance

• Doubly Stochastic Poisson Process and the Pricing of Catastrophe Reinsurance Contract

  BNET - 2000-05-22

  The paper uses a doubly stochastic Poisson process or the Cox process to model the claim arrival process for catastrophic events. The shot noise process is used for the claim intensity function within the Cox process. The Cox process with shot noise intensity is examined by piecewise deterministic Markov process...

  Tags: Intensity, University Of New South Wales, Arbitrage, Reinsurance, Pricing Strategy, Insurance, Pricing, Financial Services, Business Operations, Corporate Insurance, Marketing