Open AccessProperty Claim Services by Compound Poisson Process And Inhomogeneous Levy Process
Author(s) -
Muhammed A. S. Murad
Publication year - 2018
Publication title -
mağallat ̈ğāmiʿaẗ zāẖū. ā, ʿulūm/journal of university of zakho
Language(s) - English
Resource type - Journals
eISSN - 2414-6943
pISSN - 2410-7549
DOI - 10.25271/2018.6.1.420
Subject(s) - lévy process , compound poisson process , property (philosophy) , property insurance , renewal theory , markovian arrival process , poisson distribution , mathematical economics , process (computing) , actuarial science , exponential function , economics , mathematics , poisson process , econometrics , markov process , computer science , statistics , insurance policy , mathematical analysis , casualty insurance , philosophy , operating system , epistemology
In this paper, stochastic compound Poisson process is employed to value the catastrophic insurance options and model the claim arrival process for catastrophic events, which were written in the loss period , during which the catastrophe took place. Here, a time compound process gives the underlying loss index before and after whose losses are revaluated by inhomogeneous exponential Levy process factor. For this paper, an exponential Levy process is used to evaluate the well-known European call option in order to price Property Claim Services catastrophe insurance based on catastrophe index.