Search Results - subject:"Doubly stochastic Poisson process"

Calibrating CAT bonds for Mexican earthquakes

Haerdle, Wolfgang; Cabrera, Brenda Lopez - 2007

The study of natural catastrophe models plays an important role inthe prevention and mitigation of disasters. After the occurrence of a naturaldisaster, the reconstruction can be financed with catastrophe bonds(CAT bonds) or reinsurance. This paper examines the calibration of a realparametric...

Persistent link: https://www.econbiz.de/10009445043

Calibrating CAT bonds for Mexican earthquakes

Härdle, Wolfgang; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

: (A1) There is a doubly stochastic Poisson process Ns, i.e. a Poisson process conditional on a stochastic intensity … Stochastic Poisson Process, Trigger mechanism JEL classification: G19, G29, N26, N56, Q29, Q54 Acknowledgements: The financial … stochastic Poisson process Mt = 1(Lt > D), with a stochastic intensity depending on the index position: Λs = λs {1−F(D −Ls)}1(Ls …

Persistent link: https://www.econbiz.de/10005677952

An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model

Brigo, Damiano; El-Bachir, Naoufel - Henley Business School, University of Reading - 2007

We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of the shifted square root jump diffusion (SSRJD) default intensity model. The formula consists of a decomposition of an option on a summation of survival probabilities in a summation...

Persistent link: https://www.econbiz.de/10008542369

Calibrating CAT bonds for Mexican earthquakes

Haerdle, Wolfgang; Cabrera, Brenda Lopez - European Association of Agricultural Economists - EAAE - 2007

The study of natural catastrophe models plays an important role in the prevention and mitigation of disasters. After the occurrence of a natural disaster, the reconstruction can be financed with catastrophe bonds (CAT bonds) or reinsurance. This paper examines the calibration of a real...

Persistent link: https://www.econbiz.de/10005320357

Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model

Brigo, Damiano; El-Bachir, Naoufel - Henley Business School, University of Reading - 2006

We present a two-factor stochastic default intensity and interest rate model for pricing single-name default swaptions. The specific positive square root processes considered fall in the relatively tractable class of affine jump diffusions while allowing for inclusion of stochastic volatility...

Persistent link: https://www.econbiz.de/10005558331

A note on the risk management of CDOs

Laurent, Jean-Paul - HAL - 2006

The purpose of this note is to describe a risk management procedure applicable to options on large credit portfolios such as CDO tranches on iTraxx or CDX. Credit spread risk is dynamically hedged using single name defaultable claims such as CDS while default risk is kept under control thanks to...

Persistent link: https://www.econbiz.de/10008794771

A QUADRATIC HEDGING APPROACH TO COMPARISON OF CATASTROPHE INDICES

NORBERG, RAGNAR; SAVINA, OKSANA - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250030-1

The present study addresses the problem of designing a catastrophe derivative that insurers can use to hedge catastrophe-related losses in an incomplete market. The losses are modeled as a doubly stochastic compound Poisson process with shot-noise intensity. The hedging capability of a...

Persistent link: https://www.econbiz.de/10010552941

A quadratic hedging approach to comparison of catastrophe indices

Norberg, Ragnar; Savina, Oksana - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10009624461

Pricing catastrophe swaps: A contingent claims approach

Braun, Alexander - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 520-536

counterparty default risk. Catastrophe occurrence is modeled as a doubly stochastic Poisson process (Cox process) with mean …

Persistent link: https://www.econbiz.de/10010576743

Analytic loss distributional approach models for operational risk from the α-stable doubly stochastic compound processes and implications for capital allocation

Peters, Gareth W.; Shevchenko, Pavel V.; Young, Mark; … - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 565-579

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilized to undertake capital estimation. It has however become well accepted to utilize a Loss Distributional Approach (LDA) paradigm to model...

Persistent link: https://www.econbiz.de/10011046657