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.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.identifier.uri | http://ir.mksu.ac.ke/handle/123456780/4381 | |
| 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 |