Indifference pricing of reinsurance with reinstatements using coherent monetary criteria (Q825296)

The author considers the problem of indifference pricing of reinsurance contracts that contain a reinstatement clause. The indifference price is defined relative to both a monetary utility function and a risk measure. It is characterized as the unique solution to a fixed point equation and is bounded by two easily computable values, if one has access to losses simulations. \newline The results are illustrated on a European catastrophe insurance portfolio. Simulation study is conducted for comparison and reproducibility purposes, where the case of dependence between claim arrivals is included using Hawkes processes.