67 citations · 296 across the 28 of their papers we have counts for
Showing q-fin.PRShow all
2 papers · 1 filter
q-fin.PR2016★ 8 cited
Utility Indifference Pricing of Insurance Catastrophe Derivatives
Andreas Eichler, Gunther Leobacher, Michaela Szölgyenyi
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary…
q-fin.PR2014
Utility indifference pricing of derivatives written on industrial loss indexes
Gunther Leobacher, Philip Ngare
We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modelled by a compound Poisson p…