Simone Beer
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Title
M.Sc.
Last Name
Beer
First name
Simone
Phone
+41 71 224 7948

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Publication

Market-Consistent Valuation of Natural Catastrophe Risk

2022-01 , Beer, Simone , Braun, Alexander

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Publication

Pricing Industry Loss Warranties in a Lévy-Frailty Framework

2019-11-01 , Beer, Simone , Braun, Alexander , Marugg, Andrin

We propose a novel risk-neutral pricing approach for industry loss warranties. In doing so, we explicitly take into account the statistical dependence of the losses on individual policies in the underlying insurance portfolio, caused by the occurrence of a natural catastrophe. Inspired by recent advances in the structured credit literature, we model joint claim events in a Lévy–Frailty framework with a stochastic time change. Event time is driven by rare and large jumps of a compound Poisson subordinator and thus elapses more quickly when a natural catastrophe has struck, leading to a clustering of losses. We estimate the model on historical ILW quotes and obtain encouraging fit statistics.

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Publication

Assekuranz 2025: Quo Vadis?

2017 , Beer, Simone , Braun, Alexander , Bühler, Pascal , Eling, Martin , Maas, Peter , Reichel, Lukas , Rüfenacht, Matthias , Schaper, Philipp , et al.

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