Pricing Zero-Coupon Catastrophe Bonds Using EVT with Doubly Stochastic Poisson Arrivals
Discrete Dynamics in Nature and Society, 2017 The frequency and severity of climate abnormal change displays an irregular upward cycle as global warming intensifies. Therefore, this paper employs a doubly stochastic Poisson process with Black Derman Toy (BDT) intensity to describe the catastrophic ...
Zonggang Ma, Chaoqun Ma, Shisong Xiao
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Exchangeable Claims Sizes in a Compound Poisson Type Proces [PDF]
When dealing with risk models the typical assumption of independence among claim size distributions is not always satisfied. Here we consider the case when the claim sizes are exchangeable and study the implications when constructing aggregated claims ...
Luis E. Nieto-Barajas, Ramsés H. Mena
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Nonparametric estimation for a compound Poisson process governed by a Markov chain [PDF]
, 2013 O. A. Voĭna
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Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps [PDF]
The multiple disorder problem consists of finding a sequence of stopping times which are as close as possible to the (unknown) times of "disorder" when the distribution of an observed process changes its probability characteristics.
Pavel Gapeev
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Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes [PDF]
, 2017 Bohan Chen +3 more
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Fractional properties of geophysical field variability on the example of hydrochemical parameters
E3S Web of Conferences, 2017 Using the properties of compound Poisson process and its fractional generalizations, statistical models of geophysical fields variability are considered on an example of hydrochemical parameters system.
Shevtsov Boris, Shevtsova Olga
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Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes [PDF]
We present solutions to some discounted optimal stopping problems for the maximum process in a model driven by a Brownian motion and a compound Poisson process with exponential jumps.
Pavel V. Gapeev
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Measuring Bayesian sensitivity in the compound Poisson process
TESTAbstract Bayesian methods are widely used to determine insurance premiums, though they are sometimes criticized for the arbitrariness in selecting prior distributions. To mitigate this issue, classes of priors incorporating expert knowledge have been proposed, allowing for the analysis of uncertainty through upper and lower bounds on Bayesian
F. Ruggeri +2 more
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Hedge Portfolios in Markets with Price Discontinuities [PDF]
We consider a market consisting of multiple assets under jump-diffusion dynamics with European style options written on these assets. It is well-known that such markets are incomplete in the Harrison and Pliska sense.
Carl Chiarella, Gerald H.L. Cheang
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