Measuring Tail Dependence for Aggregate Collateral Losses Using Bivariate Compound Shot-Noise Cox Process - Applied Mathematics

AM > Vol.3 No.12, December 2012

Applied Mathematics

Volume 3, Issue 12 (December 2012)

ISSN Print: 2152-7385 ISSN Online: 2152-7393

Google-based Impact Factor: 0.58 Citations

Measuring Tail Dependence for Aggregate Collateral Losses Using Bivariate Compound Shot-Noise Cox Process ()

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Download as PDF (Size: 3360KB) PP. 2191-2204

DOI: 10.4236/am.2012.312A300 5,244 Downloads 8,265 Views Citations

Author(s)

Jiwook Jang, Genyuan Fu

Affiliation(s)

Benelec Pty Ltd., Sydney, Australia.
Department of Applied Finance & Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, Australia.

ABSTRACT

In this paper, we introduce tail dependene measures for collateral losses from catastrophic events. To calculate these measures, we use bivariate compound process where a Cox process with shot noise intensity is used to count collateral losses. A homogeneous Poisson process is also examined as its counterpart for the case where the catastrophic loss frequency rate is deterministic. Joint Laplace transform of the distribution of the aggregate collateral losses is derived and joint Fast Fourier transform is used to obtain the joint distributions of aggregate collateral losses. For numerical illustrations, a member of Farlie-Gumbel-Morgenstern copula with exponential margins is used. The figures of the joint distributions of collateral losses, their contours and numerical calculations of risk measures are also provided.

KEYWORDS

Aggregate Collateral Losses; Bivariate Compound Cox Process; Shot Noise Process; Farlie-Gumbel-Morgenstern Copula; Tail Dependence; Joint Fast Fourier Transform

Share and Cite:

J. Jang and G. Fu, "Measuring Tail Dependence for Aggregate Collateral Losses Using Bivariate Compound Shot-Noise Cox Process," Applied Mathematics, Vol. 3 No. 12A, 2012, pp. 2191-2204. doi: 10.4236/am.2012.312A300.

Cited by

[1]	Catastrophe Insurance Derivatives Pricing Using a COX Process With Jump Diffusion CIR Intensity
	International Journal of Theoretical and Applied Finance, 2018

[2]	Multivariate micro-level loss reserving: a Cox process approach
	2017

[3]	A Micro-Level Claim Count Model with Overdispersion and Reporting Delays
	UNSW Business School Research Paper, 2015

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