Utility indifference pricing of insurance catastrophe derivatives

Autor: Gunther Leobacher, Michaela Szölgyenyi, Andreas Eichler
Rok vydání: 2017
Předmět:
Index (economics)
01 natural sciences
91B16
010104 statistics & probability
Derivative (finance)
Catastrophe derivatives
Econometrics
Economics
Piecewise-deterministic Markov process
Mathematics - Optimization and Control
insurance mathematics / catastrophe derivatives / utility indifference pricing / modeling catastrophe losses / piecewise deterministic Markov process
101014 Numerical mathematics
G13
93E20
Mathematical Finance (q-fin.MF)
Original Research Paper
91G20
91B70
91B16
93E20
60J75
91B70
Quantitative Finance - Mathematical Finance
101007 Finanzmathematik
symbols
Piecewise
Stochastic optimization
G22
60J75
Statistics
Probability and Uncertainty
Mathematics - Probability
Modeling catastrophe losses
401117 Weinbau
Statistics and Probability
Economics and Econometrics
101024 Wahrscheinlichkeitstheorie
401117 Viticulture
Markov process
Piecewise deterministic Markov process
101014 Numerische Mathematik
FOS: Economics and business
symbols.namesake
FOS: Mathematics
101024 Probability theory
Fraction (mathematics)
0101 mathematics
JEL 91G20
Mathematical finance
Probability (math.PR)
010102 general mathematics
Utility indifference pricing
91G20
101007 Financial mathematics
Insurance mathematics
Optimization and Control (math.OC)
Pricing of Securities (q-fin.PR)
Quantitative Finance - Pricing of Securities
Zdroj: European Actuarial Journal
ISSN: 2190-9741
2190-9733
DOI: 10.1007/s13385-017-0154-2
Popis: 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.
Databáze: OpenAIRE
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