Utility indifference pricing of derivatives written on industrial loss indices

DOI10.1016/J.CAM.2015.11.028MaRDI QIDQ5964595zbMATH OpenOpenAlexFDO

Authors Gunther Leobacher, Philip Ngare

Publication date 29 February 2016

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.0879

zbMATH Keywords

jump processrandom thinningutility indifference pricecatastrophe derivatives(re-)insurance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stochastic control (93E20)

Abstract: We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modelled by a compound Poisson process and the insurer can adjust her portfolio by choosing the risk loading, which in turn determines the demand. We compute the price of a CAT(spread) option written on that index using utility indifference pricing.

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Cites work

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Cited in

(5)

• Indifference pricing of insurance-linked securities in a multi-period model
• Approximation methods for piecewise deterministic Markov processes and their costs
• Utility indifference pricing of insurance catastrophe derivatives
• CAT bond pricing under a product probability measure with pot risk characterization
• Price index insurances in the agriculture markets

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