6 papers
Pricing Temperature-Index Insurance under Long Memory and Stochastic Time Change
Nader Karimi, Foad Shokrollahi
This paper develops a unit-consistent actuarial framework for pricing capped cumulative temperature-index insurance under long-range dependence and stochastic variability. Daily te…
Optimal Surplus Management for Insurers under Stochastic Interest Rates and Jump-Driven Liabilities
Nader Karimi, Foad Shokrollahi, Masoumeh Shahmoradi
This paper investigates the optimal surplus management problem of an insurance company operating in a financial market with stochastic interest rates and jump-driven liabilities. T…
Pricing Excess-of-Loss Reinsurance and CAT Bonds under Climate Uncertainty: A Cox Process Framework with Temperature-Dependent Stochastic Intensity
Nader Karimi, Foad Shokrollahi
This paper develops a climate-aware pricing framework for excess-of-loss (XL) reinsurance contracts and catastrophe (CAT) bonds under non-stationary catastrophe risk. Catastrophe a…
Lamperti scaling for fractional Gaussian processes with non-stationary increments
Foad Shokrollahi, Saeed Vahdati
The Lamperti transform offers a powerful bridge between self-similar processes and stationary dynamics, making it especially useful for analyzing anomalous diffusion models that la…
Hedging in Jump Diffusion Model with Transaction Costs
Hamidreza Maleki Almani, Foad Shokrollahi, Tommi Sottinen
We consider the jump-diffusion risky asset model and study its conditional prediction laws. Next, we explain the conditional least square hedging strategy and calculate its closed…
Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands
Kostiantyn Ralchenko, Foad Shokrollahi, Tommi Sottinen
We establish the rate of convergence in the -norm for equidistant approximations of stochastic integrals with discontinuous integrands driven by multifractional Brownian motio…