Utility indifference pricing of insurance catastrophe derivatives
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Publication:1689030
DOI10.1007/s13385-017-0154-2zbMath1405.91256arXiv1607.01110OpenAlexW3103104906WikidataQ59607431 ScholiaQ59607431MaRDI QIDQ1689030
Andreas Eichler, Michaela Szölgyenyi, Gunther Leobacher
Publication date: 12 January 2018
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.01110
catastrophe derivativesutility indifference pricingpiecewise deterministic Markov processinsurance mathematicsmodeling catastrophe losses
Utility theory (91B16) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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