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Dynamics of trade-by-trade price movements: Decomposition and models,”
- Journal of Financial Econometrics,
, 2003
"... Abstract In this paper we introduce a decomposition of the joint distribution of price changes of assets recorded trade-by-trade. Our decomposition means that we can model the dynamics of price changes using quite simple and interpretable models which are easily extended in a great number of direct ..."
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Cited by 77 (6 self)
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Abstract In this paper we introduce a decomposition of the joint distribution of price changes of assets recorded trade-by-trade. Our decomposition means that we can model the dynamics of price changes using quite simple and interpretable models which are easily extended in a great number of directions, including using durations and volume as explanatory variables. Our initial attempts at using this framework will be based on generalisations of autologistic and autoregressive logarithmic models. We use maximum likelihood estimation and testing methods to assess the fit of the model to a year of IBM stock price data taken from the New York Stock Exchange.
Option Pricing in the Jump-diffusion Model with a Random Jump Amplitude: A Complete Market Approach
, 1999
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T.Meyer-Brandis, Pricing of catastrophe insurance options written on a loss index with reestimation
- Insurance Math. Econom
"... Abstract We propose a valuation model for catastrophe insurance options written on a loss index. This kind of options distinguishes between a loss period [0, T 1 ], during which the catastrophes may happen, and a development period [T 1 , T 2 ], during which losses entered before T 1 are reestimate ..."
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Cited by 2 (0 self)
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Abstract We propose a valuation model for catastrophe insurance options written on a loss index. This kind of options distinguishes between a loss period [0, T 1 ], during which the catastrophes may happen, and a development period [T 1 , T 2 ], during which losses entered before T 1 are reestimated. Here we suppose that the underlying loss index is given by a time inhomogeneous compound Poisson process before T 1 and that losses are reestimated by a common factor given by an exponential time inhomogeneous Lévy process after T 1 . In this setting, using Fourier transform techniques, we are able to provide analytical pricing formulas for catastrophe options written on this kind of index.
Micro/Macro-Economic and Spatial Individual Risk Models for Catastrophe Insurance Applications.” Unpublished manuscript
, 2002
"... In this paper we propose two generalized versions of the individual risk model that include the possibility of catastrophes. Even though the models were developed with home insurance in mind, they can be used in other contexts. The first model is a mathematical formalization of the simulation techni ..."
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Cited by 1 (1 self)
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In this paper we propose two generalized versions of the individual risk model that include the possibility of catastrophes. Even though the models were developed with home insurance in mind, they can be used in other contexts. The first model is a mathematical formalization of the simulation techniques used in the insurance industry. It allows for a micro-economic formulation useful for ratemaking and a macro-economic formulation more appropriate for catastrophe bond or option pricing. The second model is a spatial specification of the individ-ual risk model that includes correlation between risks as a function of geographic proximity. We outline some of the properties of these more general models and propose methods of specifying their various elements and of estimating their parameters using information that can be found in the literature and on the World Wide Web for the first model, or estimated from insurance data for the spatial model.
Pension and Life Insurance Companies An Empirical Analysis e
"... anonymous referees, Niels Haldrup, Montserrat Guillén and from participants at the International Symposium ..."
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anonymous referees, Niels Haldrup, Montserrat Guillén and from participants at the International Symposium
A Model for the Insurance & Reinsurance of a
"... This paper concentrates on mega–catastrophic risks whose coverage can be gained only by resorting to funds from outside the insurance industry. We propose a definition of catastrophe, mega-catastrophe, mega-catastrophic risk and insured mega-catastrophic risk. Furthermore, under suitable assumptions ..."
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This paper concentrates on mega–catastrophic risks whose coverage can be gained only by resorting to funds from outside the insurance industry. We propose a definition of catastrophe, mega-catastrophe, mega-catastrophic risk and insured mega-catastrophic risk. Furthermore, under suitable assumptions, we propose and analyze the decomposition of a mega–catastrophic risk in a part retained by the insurance market (using a catastrophe excess of loss reinsurance contract) and in a part transferred to the financial market (by issuing catastrophe bonds). Accordingly, taking into account the solvency constraint for the insurance business and the no–arbitrage condition for the financial market, we compute the safety loading necessary for the insurance of the mega–catastrophic risk, analyzing some of the different possible choices corresponding to different risky insurance portfolios. Key words: Mega–catastrophic risk, capacity, Lundberg exponent, premium loading factor, catastrophe bonds.
Intervention Rules in a Barrier Option Framework
, 2001
"... This paper takes a contingent claim approach to the market valuation of equity and liabilities in life insurance companies. A model is presented which explicitly takes into account the facts that the holders of life insurance contracts (LICs) have the first claim on the company’s assets whereas equi ..."
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This paper takes a contingent claim approach to the market valuation of equity and liabilities in life insurance companies. A model is presented which explicitly takes into account the facts that the holders of life insurance contracts (LICs) have the first claim on the company’s assets whereas equityholders have limited liability, that interest rate guarantees are common elements of LICs, and that LICs according to the so-called contribution principle are entitled to receive a fair share of any investment surplus. Furthermore, a regulatory mechanism in the form of an intervention rule is built into the model. This mechanism is shown to significantly reduce the
Modelling PCS options via individual in- dices
"... A model for the PCS index is introduced and it is shown how to price a PCS option. It is discussed how to approximate option prices. ..."
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A model for the PCS index is introduced and it is shown how to price a PCS option. It is discussed how to approximate option prices.
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"... Parametric inference for diffusion processes observed at discrete points in time: a survey ..."
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Parametric inference for diffusion processes observed at discrete points in time: a survey
