Donatien HAINAUT, ISBA, UCL

This study analyses the impact of contagion between nancial and non-life insurance markets on the asset-liability management policy of an insurance company. The indirect dependence between these markets is modeled by assuming that the assets return and non-life insurance claims are led respectively by time-changed Brownian and jump processes, for
which stochastic clocks are integrals of mutually self-exciting processes. This model exhibits delayed co-movements between nancial and non-life insurance markets, caused by events like natural disasters, epidemics, or economic recessions.