On Modelling and Pricing Index Linked Catastrophe Derivatives
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Date
2012Author
Ngare, Philip
Type
PresentationLanguage
enMetadata
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We consider the problem of indifference pricing of derivatives written on CAT bonds. The
industrial loss index is modeled by a compound Poisson process and the number of claims as doubly
stochastic process, such that its intensity varies over time. The insurer can adjust her portfolio by choos-
ing the risk loading, which in turn determines the demand. We probably restrict the policies of the
insurance company in a way that does not permit changing the risk loading during catastrophe times.
We compute the price of a CAT option written on that index using utility indifference pricing
Citation
Ngare Philip (2012). On Modelling and Pricing Index Linked Catastrophe Derivatives in:Eastern Africa Universities Mathematics program (EAUMP - Network Origin, Operation, Achievements the Future and Challenges p.161Publisher
University of Nairobi