Utility indifference pricing of insurance catastrophe derivatives

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

zbMATH Keywords

catastrophe derivativesutility indifference pricingpiecewise deterministic Markov processinsurance mathematicsmodeling catastrophe losses

Mathematics Subject Classification ID

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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