Browsing School of Business and Economics by Subject "Jump process"

Now showing items 1-1 of 1

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 ...