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• W3103104906 abstract "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 indifference pricing. The associated stochastic optimization problem is treated by techniques for piecewise deterministic Markov processes. A numerical study illustrates our results." @default.
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• W3103104906 date "2017-05-29" @default.
• W3103104906 modified "2023-10-17" @default.
• W3103104906 title "Utility indifference pricing of insurance catastrophe derivatives" @default.
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• W3103104906 doi "https://doi.org/10.1007/s13385-017-0154-2" @default.
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