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Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform

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  • Jang, Ji-Wook
  • Krvavych, Yuriy

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  • Jang, Ji-Wook & Krvavych, Yuriy, 2004. "Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 97-111, August.
    • Handle: RePEc:eee:insuma:v:35:y:2004:i:1:p:97-111
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    References listed on IDEAS

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    1. Gerber, Hans U. & Shiu, Elias S. W., 1996. "Actuarial bridges to dynamic hedging and option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 183-218, November.
    2. Paulsen, Jostein, 1998. "Ruin theory with compounding assets -- a survey," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 3-16, May.
    3. Ji‐Wook Jang, 2004. "Martingale Approach for Moments of Discounted Aggregate Claims," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 71(2), pages 201-211, June.
    4. Dassios, Angelos & Jang, Jiwook, 2003. "Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity," LSE Research Online Documents on Economics 2849, London School of Economics and Political Science, LSE Library.
    5. Delbaen, F. & Haezendonck, J., 1987. "Classical risk theory in an economic environment," Insurance: Mathematics and Economics, Elsevier, vol. 6(2), pages 85-116, April.
    6. Taylor, G. C., 1979. "Probability of Ruin under Inflationary Conditions or under Experience Rating," ASTIN Bulletin, Cambridge University Press, vol. 10(2), pages 149-162, March.
    7. Leveille, Ghislain & Garrido, Jose, 2001. "Moments of compound renewal sums with discounted claims," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 217-231, April.
    8. Sondermann, Dieter, 1991. "Reinsurance in arbitrage-free markets," Insurance: Mathematics and Economics, Elsevier, vol. 10(3), pages 191-202, December.
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    Citations

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    Cited by:

    1. Truong, Chi & Trück, Stefan & Mathew, Supriya, 2018. "Managing risks from climate impacted hazards – The value of investment flexibility under uncertainty," European Journal of Operational Research, Elsevier, vol. 269(1), pages 132-145.
    2. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019. "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics 102043, London School of Economics and Political Science, LSE Library.
    3. Hangsuck Lee & Gaeun Lee & Seongjoo Song, 2022. "Multi‐step reflection principle and barrier options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 692-721, April.
    4. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 55-65.
    5. Jang, Jiwook, 2007. "Jump diffusion processes and their applications in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 62-70, July.
    6. Jang Jiwook, 2009. "The Cost of Delay in a Mortgage/Credit Loan Portfolio," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 4(1), pages 1-14, November.
    7. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," LSE Research Online Documents on Economics 64051, London School of Economics and Political Science, LSE Library.
    8. Hangsuck Lee & Gaeun Lee & Seongjoo Song, 2021. "Multi-step Reflection Principle and Barrier Options," Papers 2105.15008, arXiv.org.
    9. Angelos Dassios & Jiwook Jang & Hongbiao Zhao, 2019. "A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance," Risks, MDPI, vol. 7(4), pages 1-18, October.
    10. Yiqing Chen, 2019. "A Renewal Shot Noise Process with Subexponential Shot Marks," Risks, MDPI, vol. 7(2), pages 1-8, June.
    11. Bae, Taehan & Kim, Changki & Kulperger, Reginald J., 2009. "Securitization of motor insurance loss rate risks," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 48-58, February.
    12. Yan, Jun, 2017. "Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 71-79.
    13. Jang, Jiwook & Dassios, Angelos & Zhao, Hongbiao, 2018. "Moments of renewal shot-noise processes and their applications," LSE Research Online Documents on Economics 87428, London School of Economics and Political Science, LSE Library.
    14. Jang, Jiwook & Dassios, Angelos, 2013. "A bivariate shot noise self-exciting process for insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 524-532.
    15. Lee, Hangsuck & Ko, Bangwon & Song, Seongjoo, 2019. "Valuing step barrier options and their icicled variations," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 396-411.
    16. Canan Hamurkaroğlu & Sümeyra Sezer Kaplan, 2024. "Actuarial premium calculation for beekeeping insurance in Turkiye," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(3), pages 448-473, July.

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