Quotation Eichler, Andreas, Leobacher, Gunther, Szölgyenyi, Michaela. 2017. Utility Indifference Pricing of Insurance Catastrophe Derivatives. European Actuarial Journal 7, 515-534.




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.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal European Actuarial Journal
Language English
Title Utility Indifference Pricing of Insurance Catastrophe Derivatives
Volume 7
Year 2017
Page from 515
Page to 534
Reviewed? Y
URL https://link.springer.com/article/10.1007%2Fs13385-017-0154-2
DOI http://dx.doi.org/10.1007/s13385-017-0154-2
JEL 91G20; 91B70; 91B16; 93E20; 60J75


Szölgyenyi, Michaela (Former researcher)
Eichler, Andreas (University of Applied Sciences Upper Austria, Austria)
Leobacher, Gunther (Johannes Kepler University Linz, Austria)
Institute for Statistics and Mathematics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1114 Numerical mathematics (Details)
1117 Actuarial mathematics (Details)
1118 Probability theory (Details)
1137 Financial mathematics (Details)
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