Pricing Insurance Derivatives, the Case of CAT-Futures

Since their appearance on the market, catastrophe insurance futures have triggered a considerable interest from both practitioners as well as academics. As one example of a securitized (re)insurance risk, its pricing and hedging contains many of the key problems to be addressed in the analysis of more general insurance de-rivatives. In the present paper we review the main methodological questions underlying the theoretical pricing of such products. We discuss utility maximi-zation pricing more in detail. A key methodological feature is the theory of incomplete markets. Our paper follows closely the exposition given in Meister (1995). Catastrophe Insurance Future