European actuarial journal, 2017-12, Vol.7 (2), p.515-534
2017
Details
- Autor(en) / Beteiligte
- Titel
- Utility indifference pricing of insurance catastrophe derivatives
- Ist Teil von
- European actuarial journal, 2017-12, Vol.7 (2), p.515-534
- Ort / Verlag
- Berlin/Heidelberg: Springer Berlin Heidelberg
- Erscheinungsjahr
- 2017
- Link zum Volltext
- Quelle
- Alma/SFX Local Collection
- Beschreibungen/Notizen
- 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.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 2190-9733eISSN: 2190-9741DOI: 10.1007/s13385-017-0154-2Titel-ID: cdi_pubmedcentral_primary_oai_pubmedcentral_nih_gov_5744642
- Format
- –
- Schlagworte
- Actuarial science, Applications of Mathematics, Catastrophes, Claims processing, Derivatives, Economics, Financial Services, Game Theory, Hurricanes, Insurance companies, Insurance industry, Market shares, Mathematics, Mathematics and Statistics, Original Research Paper, Put & call options, Quantitative Finance, Random variables, Securities markets, Social and Behav. Sciences, Valuation