Arbitrage‑free catastrophe reinsurance valuation for compound dynamic contagion claims
The insurance sector faces pressure from rising catastrophic risks, leading to higher premiums and policy non‑renewals. This paper proposes an arbitrage‑free method for pricing catastrophe reinsurance using the compound dynamic contagion process and Esscher transform. The findings help insurers assess liabilities amid emerging risks like climate change, cyberattacks, and pandemics.