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.
| Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:5566 |
| Date | January 2017 |
| Creators | Eichler, Andreas, Leobacher, Gunther, Szölgyenyi, Michaela |
| Publisher | Springer Berlin Heidelberg |
| Source Sets | Wirtschaftsuniversität Wien |
| Language | English |
| Detected Language | English |
| Type | Article, PeerReviewed |
| Format | application/pdf |
| Rights | Creative Commons: Attribution 4.0 International (CC BY 4.0) |
| Relation | http://dx.doi.org/10.1007/s13385-017-0154-2, https://link.springer.com/journal/13385, http://epub.wu.ac.at/5566/ |
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