Utility indifference pricing of derivatives written on industrial loss indexes
Pricing of Securities
2014-04-04 v1 Portfolio Management
Risk Management
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.
Keywords
Cite
@article{arxiv.1404.0879,
title = {Utility indifference pricing of derivatives written on industrial loss indexes},
author = {Gunther Leobacher and Philip Ngare},
journal= {arXiv preprint arXiv:1404.0879},
year = {2014}
}
Comments
(Re-)Insurance, catastrophe derivatives, jump process, random thinning, utility indifference price