Utility indifference pricing of derivatives written on industrial loss indices

dc.contributor.author	Leobacher, Gunther
dc.contributor.author	Ngare, Philip
dc.date.accessioned	2019-05-07T10:06:34Z
dc.date.available	2019-05-07T10:06:34Z
dc.date.issued	2016
dc.identifier.uri	http://ir.mksu.ac.ke/handle/123456780/4381
dc.description.abstract	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 her portfolio by choosing the risk loading, which in turn determines the demand. We compute the price of a CAT (spread) option written on that index using utility indifference pricing	en_US
dc.language.iso	en_US	en_US
dc.publisher	North-Holland	en_US
dc.subject	(Re-)Insurance	en_US
dc.subject	Catastrophe derivatives	en_US
dc.subject	Jump process	en_US
dc.subject	Random thinning	en_US
dc.subject	Utility indifference price	en_US
dc.title	Utility indifference pricing of derivatives written on industrial loss indices	en_US
dc.type	Article	en_US

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