Clustered LLvy Processes and Their Financial Applications

Hainaut, Donatien

doi:10.2139/ssrn.2889355

SSRN Journal

2016

DOI: 10.2139/ssrn.2889355

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Clustered LLvy Processes and Their Financial Applications

Donatien Hainaut

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2017

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Contagion modeling between the financial and insurance markets with time changed processes

Hainaut

2017

Insurance: Mathematics and Economics

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a b s t r a c tThis study analyzes the impact of contagion between financial and non-life insurance markets on the asset-liability management policy of an insurance company. The indirect dependence between these markets is modeled by assuming that the assets return and non-life insurance claims are led respectively by time-changed Brownian and jump processes, for which stochastic clocks are integrals of mutually selfexciting processes. This model exhibits delayed co-movements between financial and non-life insurance markets, caused by events like natural disasters, epidemics, or economic recessions.

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Contagion modeling between the financial and insurance markets with time changed processes

Hainaut

2017

Insurance: Mathematics and Economics

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Clustered LLvy Processes and Their Financial Applications

Cited by 1 publication

References 36 publications

Contagion modeling between the financial and insurance markets with time changed processes

Contagion modeling between the financial and insurance markets with time changed processes

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