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arXiv · 1607.01110

Utility Indifference Pricing of Insurance Catastrophe Derivatives

Andreas Eichler·Gunther Leobacher·Michaela Szölgyenyi
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Abstract

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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Andreas Eichler, Gunther Leobacher, Michaela Szölgyenyi. 2017-05-08. Utility Indifference Pricing of Insurance Catastrophe Derivatives. https://doi.org/10.1007/s13385-017-0154-2

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