Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process With Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts

Topics:
Insurance,
Investment and Capital Markets
Tags:
Business Operations,
Corporate Insurance,
Finance,
Financial Planning,
Insurance,
Intensity,
Pricing Strategy,
Reinsurance,
University Of New South Wales
Source:
University of New South Wales

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Overview: In practical situations, the number of claims to an insurance portfolio is observed but not the claim intensity. It is therefore of interest to try to solve the filtering problem, that is to obtain the best estimate of the claim intensity on the basis of reported claims. This paper states that in order to use the Kalman-Bucy filter, based on the Cox process incorporating a shot noise process as claim intensity, it has to be approximated by a Gausian process.

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Format: PDF | Size: 261KB | Date: Sep 2004 | Pages: 20

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