Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4637986 | Journal of Computational and Applied Mathematics | 2016 | 15 Pages |
Abstract
We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modeled 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 and present numerical examples.
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Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Gunther Leobacher, Philip Ngare,