Modelling Insurance Claims During Financial Crises: A Systemic Approach

Francis Agana and Eben Maré ()
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Francis Agana: Department of Mathematics and Applied Mathematics, University of Pretoria, Private Bag X20 Hatfield, Pretoria 0028, South Africa
Eben Maré: Department of Mathematics and Applied Mathematics, University of Pretoria, Private Bag X20 Hatfield, Pretoria 0028, South Africa

JRFM, 2025, vol. 18, issue 6, 1-20

Abstract: In this paper, we introduce a generalised mutually exciting Hawkes process with random and independent jump intensities. This model provides a robust theoretical framework for modelling complex point processes and appropriately characterises the financial system, especially during periods of crisis. Based on this extended Hawkes process, we propose an insurance claim process and demonstrate that claim processes modelled as an aggregated process enable early detection of crises and inform optimal investment strategies in a financial system.

Keywords: point process; Poisson process; Hawkes process; intensity process; claim process; financial contagion (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2025
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