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Catastrophe insurance modeled by shot-noise processes

Schmidt, Thorsten - In: Risks : open access journal 2 (2014) 1, pp. 3-24

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...

Persistent link: https://www.econbiz.de/10010338102

Parametric insurance : a possible and necessary solution to insure the earthquake risk of Romania

Radu, Nicoleta; Alexandru, Felicia - In: Risks : open access journal 10 (2022) 3, pp. 1-16

The rapid growth over recent decades of the impact of natural disasters on economies, especially in vulnerable areas, urges stakeholders to promote innovative solutions involving risk transfers that account for the new risk exposures. These proposed solutions are designed to optimize and...

Persistent link: https://www.econbiz.de/10013161504

Decomposition of natural catastrophe risks : insurability using parametric CAT bonds

Marvi, Morteza Tavanaie; Linders, Daniël - In: Risks : open access journal 9 (2021) 12, pp. 1-19

Nat Cat risks are not insurable by traditional insurance mainly because of producing highly correlated losses. The source of such correlation among buildings of a region subject to a natural hazard is discussed. A decomposition method is proposed to split Nat Cat risk into idiosyncratic (and...

Persistent link: https://www.econbiz.de/10012705095

Examining the effects of gradual catastrophes on capital modelling and the solvency of insurers: the case of COVID-19

Tamturk, Muhsin; Cortis, Dominic; Farrell, Mark - In: Risks : open access journal 8 (2020) 4/132, pp. 1-13

This paper models the gradual elements of catastrophic events on non-life insurance capital with a particular focus on the impact of pandemics, such as COVID-19. A combination of actuarial and epidemiological models are handled by the Markovian probabilistic approach, with Feynman's path...

Persistent link: https://www.econbiz.de/10012391664

Quantifying the role of occurrence losses in catastrophe excess of loss reinsurance pricing

Khare, Shree; Roy, Keven - In: Risks : open access journal 9 (2021) 3, pp. 1-38

The aim of this paper is to merge order statistics with natural catastrophe reinsurance pricing to develop new theoretical and practical insights relevant to market practice and model development. We present a novel framework to quantify the role that occurrence losses (order statistics) play in...

Persistent link: https://www.econbiz.de/10012508519

Measuring systemic governmental reinsurance risks of extreme risk events

Hadad, Elroi; Shusi, Tomer; Yosef, Rami - In: Risks : open access journal 11 (2023) 3, pp. 1-14

This study presents an easy-to-handle approach to measuring the severity of reinsurance that faces a system of dependent claims, where the reinsurance contracts are of excess loss or proportional loss. The proposed approach is a natural generalization of common reinsurance methodologies...

Persistent link: https://www.econbiz.de/10014246287

Development of the black-scholes model for determining insurance premiums to mitigate the risk of disaster losses using the principles of mutual cooperation and regional economic g...

Purwandari, Titi; Hidayat, Yuyun; Sukono; Kalfin; … - In: Risks : open access journal 12 (2024) 7, pp. 1-21

change. This increase has an impact on the disaster insurance field, particularly in the calculation of premiums. Many … growth. Therefore, this research aims to develop premium models of natural disaster insurance that uniquely involve two new …, this study uses the model to estimate the premiums for natural disaster insurance in each province of Indonesia. The …

Persistent link: https://www.econbiz.de/10014637187

Optimal form of retention for securitized loans under moral hazard

Dionne, Georges; Malekan, Sara - In: Risks : open access journal 5 (2017) 4, pp. 1-13

We address the moral hazard problem of securitization using a principal-agent model where the investor is the principal … and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement …

Persistent link: https://www.econbiz.de/10011783323

Life insurance cash flows with policyholder behavior

Buchardt, Kristian; Møller, Thomas - In: Risks : open access journal 3 (2015) 3, pp. 290-317

The problem of the valuation of life insurance payments with policyholder behavior is studied. First, a simple survival model is considered, and it is shown how cash flows without policyholder behavior can be modified to include surrender and free policy behavior by calculation of simple...

Persistent link: https://www.econbiz.de/10011300310

A two-account life insurance model for scenario-based valuation including event risk

Jensen, Ninna Reitzel; Schomacker, Kristian Juul - In: Risks : open access journal 3 (2015) 2, pp. 183-218

Using a two-account model with event risk, we model life insurance contracts taking into account both guaranteed and non-guaranteed payments in participating life insurance as well as in unit-linked insurance. Here, event risk is used as a generic term for life insurance events, such as death,...

Persistent link: https://www.econbiz.de/10011300329

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