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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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| Publicat a: | Eur Actuar J |
|---|---|
| Autors principals: | , , |
| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Springer Berlin Heidelberg
2017
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| Matèries: | |
| Accés en línia: | 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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