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Utility indifference pricing of insurance catastrophe derivatives

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.

Identiferoai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:5566
Date January 2017
CreatorsEichler, Andreas, Leobacher, Gunther, Szölgyenyi, Michaela
PublisherSpringer Berlin Heidelberg
Source SetsWirtschaftsuniversität Wien
LanguageEnglish
Detected LanguageEnglish
TypeArticle, PeerReviewed
Formatapplication/pdf
RightsCreative Commons: Attribution 4.0 International (CC BY 4.0)
Relationhttp://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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