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) slope...
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| Language: | English |
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2022
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| Online Access: | https://cris.library.msu.ac.zw//handle/11408/5275 |
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| author | Leonard Mushunje Chiedza Elvina Mashiri Edina Chandiwana Edina Chandiwana Maxwell Mashasha |
| author2 | Niansheng Tang |
| author_facet | Niansheng Tang Leonard Mushunje Chiedza Elvina Mashiri Edina Chandiwana Edina Chandiwana Maxwell Mashasha |
| author_sort | Leonard Mushunje |
| collection | DSpace |
| description | 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. |
| format | book part |
| id | ir-11408-5275 |
| institution | My University |
| language | English |
| publishDate | 2022 |
| publisher | IntechOpen |
| record_format | dspace |
| spelling | ir-11408-52752022-12-01T16:31:24Z Application of Jump Diffusion Models in Insurance Claim Estimation Leonard Mushunje Chiedza Elvina Mashiri Edina Chandiwana Edina Chandiwana Maxwell Mashasha Niansheng Tang Department of Applied Mathematics and Statistics, Midlands State University, Gweru, Zimbabwe Department of Applied Mathematics and Statistics, Midlands State University, Gweru, Zimbabwe Department of Applied Mathematics and Statistics, Midlands State University, Gweru, Zimbabwe Department of Applied Mathematics and Statistics, Midlands State University, Gweru, Zimbabwe Department of Applied Mathematics and Statistics, Midlands State University, Gweru, Zimbabwe Yunnan University Insurance claims Jumps Diffusion models Insurance claims General insurance Volatility Reserving 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. 33 36 2022-12-01T16:31:23Z 2022-12-01T16:31:23Z 2022-05-09 book part https://cris.library.msu.ac.zw//handle/11408/5275 10.5772/intechopen.99853 en Artificial Intelligence Data Clustering 978-1-83969-888-0 2633-1403 open IntechOpen |
| spellingShingle | Insurance claims Jumps Diffusion models Insurance claims General insurance Volatility Reserving Leonard Mushunje Chiedza Elvina Mashiri Edina Chandiwana Edina Chandiwana Maxwell Mashasha Application of Jump Diffusion Models in Insurance Claim Estimation |
| title | Application of Jump Diffusion Models in Insurance Claim Estimation |
| title_full | Application of Jump Diffusion Models in Insurance Claim Estimation |
| title_fullStr | Application of Jump Diffusion Models in Insurance Claim Estimation |
| title_full_unstemmed | Application of Jump Diffusion Models in Insurance Claim Estimation |
| title_short | Application of Jump Diffusion Models in Insurance Claim Estimation |
| title_sort | application of jump diffusion models in insurance claim estimation |
| topic | Insurance claims Jumps Diffusion models Insurance claims General insurance Volatility Reserving |
| url | https://cris.library.msu.ac.zw//handle/11408/5275 |
| work_keys_str_mv | AT leonardmushunje applicationofjumpdiffusionmodelsininsuranceclaimestimation AT chiedzaelvinamashiri applicationofjumpdiffusionmodelsininsuranceclaimestimation AT edinachandiwana applicationofjumpdiffusionmodelsininsuranceclaimestimation AT edinachandiwana applicationofjumpdiffusionmodelsininsuranceclaimestimation AT maxwellmashasha applicationofjumpdiffusionmodelsininsuranceclaimestimation |