Utility indifference pricing of derivatives written on industrial loss indices

DOI10.1016/j.cam.2015.11.028zbMath1331.91100arXiv1404.0879OpenAlexW1879220956MaRDI QIDQ5964595

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

(re-)insurancecatastrophe derivativesjump processrandom thinningutility indifference price

Mathematics Subject Classification ID

Related Items (4)

Utility indifference pricing of insurance catastrophe derivatives ⋮ CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION ⋮ Approximation methods for piecewise deterministic Markov processes and their costs ⋮ Indifference pricing of insurance-linked securities in a multi-period model

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• Pricing Via Utility Maximization and Entropy
• Valuing clustering in catastrophe derivatives
• Utility–indifference hedging and valuation via reaction–diffusion systems
• Exponential Hedging and Entropic Penalties

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