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arXiv · 1404.0879

Utility indifference pricing of derivatives written on industrial loss indexes

Gunther Leobacher·Philip Ngare
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Abstract

We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modelled 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.

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Gunther Leobacher, Philip Ngare. 2014-04-03. Utility indifference pricing of derivatives written on industrial loss indexes. https://arxiv.org/abs/1404.0879

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