Utility indifference pricing of insurance catastrophe derivatives

被引：4
|
作者：
Eichler A. [1 ]
Leobacher G. [2 ]
Szölgyenyi M. [3 ]
机构：
[1] University of Applied Sciences Upper Austria-Campus Wels, Stelzhamerstraße 23, Wels
[2] Department of Mathematics and Scientific Computing, University of Graz, Heinrichstraße 36, Graz
[3] Institute for Statistics and Mathematics, WU Vienna University of Economics and Business, Welthandelsplatz 1, Vienna
来源：
European Actuarial Journal | 2017年 / 7卷 / 2期
基金：
奥地利科学基金会;
关键词：
Catastrophe derivatives; Insurance mathematics; Modeling catastrophe losses; Piecewise deterministic Markov process; Utility indifference pricing;
D O I：
10.1007/s13385-017-0154-2
中图分类号：
学科分类号：
摘要：
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary losses and losses due to catastrophes. In this model we price a catastrophe derivative by the method of utility indifference pricing. The associated stochastic optimization problem is treated by techniques for piecewise deterministic Markov processes. A numerical study illustrates our results. © 2017, The Author(s).
引用
收藏
页码：515 / 534
页数：19
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