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2 résultats pour « Catastrophic Events. »

Arbitrage‑free catastrophe reinsurance valuation for compound dynamic contagion claims

20 févr. 2025 Autre, Résilience numérique, insurance pricing, reinsurance/insurance, Catastrophic Events.

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.

Modelling of Large Fire Insurance Claims: An Extreme Value Theory Approach

11 janv. 2024 Autre, Risk Management, Generalized Pareto Distribution (GPD), Fire Insurance Claims, Extreme Value Theory (EVT), Catastrophic Events., Quantification des risques

This research develops a mathematical model using Extreme Value Theory and Risk Measures to estimate and forecast major fire insurance claims, enhancing insurers' understanding of potential risks. Utilizing a three-parameter Generalized Pareto Distribution in the Extreme Value Theory framework, the study effectively models large losses, aiding in risk management and pricing strategies for insurance firms.

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