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• Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process With Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts

  BNET - 2004-09-17

  In practical situations, the number of claims to an insurance portfolio is observed but not the claim intensity. It is therefore of interest to try to solve the filtering problem, that is to obtain the best estimate of the claim intensity on the basis of reported claims. This paper states...

  Tags: Intensity, University Of New South Wales, Reinsurance, Pricing Strategy, Insurance, Financial Planning, Business Operations, Corporate Insurance, Finance

• 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