We investigated if general insurance claims are normal or rare events through systematic, discontinuous or..."> We investigated if general insurance claims are normal or rare events through systematic, discontinuous or..."/>
Image of Application of Jump Diffusion Models in Insurance Claim Estimation
Bookmark Share

Application of Jump Diffusion Models in Insurance Claim Estimation

We investigated if general insurance claims are normal or rare events through systematic, discontinuous or sporadic jumps of the Brownian motion approach and Poisson processes. Using firm quarterly data from March 2010 to December 2018, we hypothesized that claims with high positive (negative) slopes are more likely to have large positive (negative) jumps in the future. As such, we expected salient properties of volatile jumps on the written products/contracts. We found that insurance claims for general insurance quoted products cease to be normal. There exist at times some jumps, especially during holidays and weekends. Such jumps are not healthy to the capital structures of firms, as such they need attention. However, it should be noted that gaps or jumps (unless of specific forms) cannot be hedged by employing internal dynamic adjustments. This means that, jump risk is non-diversifiable and such jumps should be given more attention.

Availability

No copy data

Detail Information
Series Title
-
Call Number
-
Publisher
: IntechOpen,.,
Collation
-
Language
English
ISBN/ISSN
978-1-83969-887-3
Classification
-
Content Type
-
Media Type
-
Carrier Type
-
Edition
-
Subject(s)
Data Clustering
Specific Detail Info
-
Statement of Responsibility
Other version/related

No other version available

File Attachment
No Data
Comments
You must be logged in to post a comment