| dc.contributor.author | Ngare, Philip | |
| dc.date.accessioned | 2014-03-26T08:21:35Z | |
| dc.date.available | 2014-03-26T08:21:35Z | |
| dc.date.issued | 2012 | |
| dc.identifier.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.161 | en_US |
| dc.identifier.uri | http://eaump.org/Proceedings2012.pdf#page=11 | |
| dc.identifier.uri | http://hdl.handle.net/11295/65596 | |
| dc.description.abstract | 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 | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | University of Nairobi | en_US |
| dc.title | On Modelling and Pricing Index Linked Catastrophe Derivatives | en_US |
| dc.type | Presentation | en_US |
