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
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Related Items (4)
Indifference pricing of pure endowments via BSDEs under partial information ⋮ Approximation methods for piecewise deterministic Markov processes and their costs ⋮ Indifference pricing of insurance-linked securities in a multi-period model ⋮ A comparative study of pricing approaches for longevity instruments
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- Utility indifference pricing of derivatives written on industrial loss indices
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