Utility indifference pricing of derivatives written on industrial loss indices (Q5964595)
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scientific article; zbMATH DE number 6547405
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| English | Utility indifference pricing of derivatives written on industrial loss indices |
scientific article; zbMATH DE number 6547405 |
Statements
Utility indifference pricing of derivatives written on industrial loss indices (English)
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29 February 2016
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(re-)insurance
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catastrophe derivatives
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jump process
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random thinning
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utility indifference price
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0.873376190662384
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0.7681060433387756
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0.7536954283714294
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0.7420694231987
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