Utility Indifference Pricing of Insurance Catastrophe Derivatives

摘要

We propose a model for an insurance loss index and the claims process of asingle insurance company holding a fraction of the total number of contractsthat captures both ordinary losses and losses due to catastrophes. In thismodel we price a catastrophe derivative by the method of utility indifferencepricing. The associated stochastic optimization problem is treated bytechniques for piecewise deterministic Markov processes. A numerical studyillustrates our results.