Utility Indifference Pricing of Insurance Catastrophe Derivatives

Andreas Eichler, Gunther Leobacher and Michaela Sz\"olgyenyi

Papers from arXiv.org

Abstract: 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.

Date: 2016-07, Revised 2017-05
New Economics Papers: this item is included in nep-ger, nep-ias and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Published in European Actuarial Journal, 7:515-534, 2017

Downloads: (external link)
http://arxiv.org/pdf/1607.01110 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1607.01110

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().