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Copyright of ESPOCH Congresses: The Ecuadorian Journal of S.T.E.A.M. is the property of Knowledge E DMCC and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Revista de Ciencias Sociales (13159518) is the property of Revista de Ciencias Sociales de la Universidad del Zulia Venezuela and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper develops a random continuous-time model that simplifies calculation of insurance linked securitie' (ILS) underlying catastrophic loss index and allows us to price them with the traditional option valuation methodology. Under the hypothesis that the total amount of the catastrophe is defined as the sum of two random variables, the incurred claims amount and the incurredbut- not-yet reported claims amount, we model the decreasing dynamics of the latter through a geometric Brownian process characterized by two Wiener processes that introduce a greater volatility to the model which increases its accuracy. The difference between the incurred-but-not-yet-reported claims amount and the total amount of the catastrophe results in the reported claims amount, which is the numerator of the loss ratio that we intend to determine. In order to verify the validity of the proposed hereby, its parameters are estimated using the maximum likelihood method and a Ji-square normality test is performed on a sample of six floods occurred in several Spanish locations prone to such events. [ABSTRACT FROM AUTHOR]