Browsing School of Business and Economics by Author "Leobacher, Gunther"

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    • On Modelling and Pricing Rainfall Derivatives with Seasonality 

      Leobacher, Gunther; Ngare, Philip (Taylor & Francis, 2010)
      We are interested in pricing rainfall options written on precipitation at specific locations. We assume the existence of a tradeable financial instrument in the market whose price process is affected by the quantity of ...

    • Utility indifference pricing of derivatives written on industrial loss indices 

      Leobacher, Gunther; Ngare, Philip (North-Holland, 2016)
      We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modeled by a compound Poisson process and the insurer can adjust ...