Utility indifference pricing of insurance catastrophe derivatives

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 indiffer...

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Detalles Bibliográficos
Autores principales: Eichler , Andreas, Leobacher, Gunther, Szölgyenyi, Michaela
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2017
Materias:
Original Research Paper
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5744642/
https://www.ncbi.nlm.nih.gov/pubmed/29323354
http://dx.doi.org/10.1007/s13385-017-0154-2
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author Eichler , Andreas
Leobacher, Gunther
Szölgyenyi, Michaela
author_facet Eichler , Andreas
Leobacher, Gunther
Szölgyenyi, Michaela
author_sort Eichler , Andreas
collection PubMed
description 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.
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spelling pubmed-57446422018-01-08 Utility indifference pricing of insurance catastrophe derivatives Eichler , Andreas Leobacher, Gunther Szölgyenyi, Michaela Eur Actuar J Original Research Paper 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. Springer Berlin Heidelberg 2017-05-29 2017 /pmc/articles/PMC5744642/ /pubmed/29323354 http://dx.doi.org/10.1007/s13385-017-0154-2 Text en © The Author(s) 2017 Open AccessThis article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
spellingShingle Original Research Paper
Eichler , Andreas
Leobacher, Gunther
Szölgyenyi, Michaela
Utility indifference pricing of insurance catastrophe derivatives
title Utility indifference pricing of insurance catastrophe derivatives
title_full Utility indifference pricing of insurance catastrophe derivatives
title_fullStr Utility indifference pricing of insurance catastrophe derivatives
title_full_unstemmed Utility indifference pricing of insurance catastrophe derivatives
title_short Utility indifference pricing of insurance catastrophe derivatives
title_sort utility indifference pricing of insurance catastrophe derivatives
topic Original Research Paper
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5744642/
https://www.ncbi.nlm.nih.gov/pubmed/29323354
http://dx.doi.org/10.1007/s13385-017-0154-2
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