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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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| Publicado no: | Eur Actuar J |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Springer Berlin Heidelberg
2017
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5744642/ https://ncbi.nlm.nih.gov/pubmed/29323354 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1007/s13385-017-0154-2 |
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