Title:

Insurance drawdown-type contracts for a phase-type risk process perturbed by Brownian motion

Group publication title:

Śląski Przegląd Statystyczny = Silesian Statistical Review

Title in english:

Silesian Statistical Review

Creator:

Palmowski, Zbigniew ; Tumilewicz, Joanna

Subject and Keywords:

insurance contract ; fair valuation ; drawdown ; Lévy process ; drawup ; optimal stopping ; Brownian motion ; proces spadku ; proces wzrostu ; procesy Lévy'ego ; kontrakty ubezpieczeniowe ; proces fazowy

Description:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2017, Nr 15, s. 201-225

Abstrakt:

In this paper we consider the insurance polices based on drawdown and drawup events where an underlying asset is derived by a classical risk process with phasetype claim sizes perturbed by Brownian motion. The drawdown/drawup process we define as a difference between the historical maximum/minimum and current asset value. We consider four contracts presented in [Palmowski, Tumilewicz 2016]. The first one is an insurance contract where the protection buyer is paying a constant premium with intensity p until the drawdown of fixed size occurs. In return he/she receives a certain insured amount at the drawdown epoch. The second insurance contract may expire early if a certain fixed drawup event occurs prior to a fixed drawdown. The last two contracts are extensions of the previous ones by an additional cancellable feature which allows an investor to terminate the contract earlier. We focus here on an extensive numerical analysis when claim sizes are phase-type

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2017

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/sps.2017.15.10

Language:

eng

Relation:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2017, Nr 15 (21)

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu