Add to ORKGAbstract. We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modeled by a compound Poisson process and the insurer can adjust her portfolio by choosing the risk loading, which in turn determines the demand. We compute the price of a CAT (spread) option written on that index using utility indifference pricing
We present counterparty risk by a jump in the underlying price and a structural change of the price ...
Pricing options in a market with transaction costs is an important research topic in quantitative fi...
This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion proce...
We propose a model for an insurance loss index and the claims process of a single insurance company ...
Abstract. Utility indifference pricing and hedging theory is presented, showing how it leads to line...
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to n...
With the aid of Taylor-based approximations, this paper presents results for pricing insurance contr...
Abstract. With the aid of Taylor-based approximations, this paper presents re-sults for pricing insu...
With the aid of Taylor-based approximations, this paper presents results for pricing insurance contr...
While the market for credit instruments grew continuously in the decade before 2008, its liquidity h...
In recent decades, there has been a growing interest for utility indifference based approaches to so...
ABSTRACT Utility based indifference pricing and hedging are now considered to be an economically nat...
This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion proce...
2020 Elsevier Ltd In this paper, a PDE (partial differential equation) based approach is presented t...
In complete markets, pricing financial products is easy (at least from a theoretical point of view)....
We present counterparty risk by a jump in the underlying price and a structural change of the price ...
Pricing options in a market with transaction costs is an important research topic in quantitative fi...
This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion proce...
We propose a model for an insurance loss index and the claims process of a single insurance company ...
Abstract. Utility indifference pricing and hedging theory is presented, showing how it leads to line...
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to n...
With the aid of Taylor-based approximations, this paper presents results for pricing insurance contr...
Abstract. With the aid of Taylor-based approximations, this paper presents re-sults for pricing insu...
With the aid of Taylor-based approximations, this paper presents results for pricing insurance contr...
While the market for credit instruments grew continuously in the decade before 2008, its liquidity h...
In recent decades, there has been a growing interest for utility indifference based approaches to so...
ABSTRACT Utility based indifference pricing and hedging are now considered to be an economically nat...
This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion proce...
2020 Elsevier Ltd In this paper, a PDE (partial differential equation) based approach is presented t...
In complete markets, pricing financial products is easy (at least from a theoretical point of view)....
We present counterparty risk by a jump in the underlying price and a structural change of the price ...
Pricing options in a market with transaction costs is an important research topic in quantitative fi...
This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion proce...