Gunther Leobacher, Philip Ngare,
"Utility indifference pricing of derivatives written on industrial loss indices"
, in Journal of Computational and Applied Mathematics, Vol. 300, Elsevier, Seite(n) 68-82, 7-2016
Utility indifference pricing of derivatives written on industrial loss indices
Sprache des Titels:
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.