Utility Indifference Pricing of Insurance Catastrophe Derivatives

Andreas Eichler; Gunther Leobacher; Michaela Szölgyenyi

doi:10.1007/s13385-017-0154-2

Utility Indifference Pricing of Insurance Catastrophe Derivatives

Andreas Eichler, Gunther Leobacher, Michaela Szölgyenyi

Statistics and Mathematics

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung

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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.

Originalsprache	Englisch
Seiten (von - bis)	515 - 534
Fachzeitschrift	European Actuarial Journal
Jahrgang	7
DOIs	https://doi.org/10.1007/s13385-017-0154-2
Publikationsstatus	Veröffentlicht - 2017

Österreichische Systematik der Wissenschaftszweige (ÖFOS)

101014 Numerische Mathematik
401117 Weinbau
101024 Wahrscheinlichkeitstheorie
101007 Finanzmathematik

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10.1007/s13385-017-0154-2Lizenz: Nicht angegeben

Eichler etal 2017 EAJ Utility-indifference-pricingEndgültige, publizierte Fassung, 585 KBLizenz: CC BY

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Zitat

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AU - Leobacher, Gunther

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AB - 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.

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DO - 10.1007/s13385-017-0154-2

M3 - Journal article

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