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Register a new userUtility Indifference Pricing of Insurance Catastrophe Derivatives
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Added by
Michaela Sz\\\"olgyenyi
Publication date
2016
fields
Financial
and research's language is
English
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No Arabic abstract
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary losses and losses due to catastrophes. In this model we price a catastrophe derivative by the method of utility indifference pricing. The associated stochastic optimization problem is treated by techniques for piecewise deterministic Markov processes. A numerical study illustrates our results.
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