Reference paper: analytical stop-loss reinsurance pricing
Table of Contents
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What
Alper Hekimoglu, Bilgi Yılmaz, and Ömür Uğur, "Analytical pricing of time dependent stop-loss reinsurance and exposure curves under time-changed Brownian motion drift", published in the Japan Journal of Industrial and Applied Mathematics. The paper combines actuarial loss modelling with mathematical-finance techniques: building on Madan-Carr-Chang (1998) "The Variance Gamma Process and Option Pricing", it derives tractable results for the loss distribution and associated stop-loss quantities for VG and NIG processes combined with an OU stochastic drift, aiming to keep analytical tractability while introducing richer, more realistic loss dynamics.
Why
Filed as a reference for future modelling work on synthetic curve generation / stochastic process libraries in ORE Studio — VG and NIG processes with time-changed Brownian motion and OU drift are candidate techniques worth evaluating if richer exposure/loss curve generation is ever needed.
References
- Springer Nature SharedIt link: https://rdcu.be/fuA7t
- Journal link: https://lnkd.in/d4PTts69
- Madan, Carr, Chang (1998), "The Variance Gamma Process and Option Pricing"