Utility indifference pricing of CAT bonds for insurance companies facing finite demand

  • Gunther Leobacher (Speaker)

Activity: Talk or presentation › Contributed talk › unknown

Description

We consider the problem of pricing catastrophe related bonds (CAT bonds) for an insurance company which can control the size of its risk portfolio (and thereby the evolution of its wealth) via the risk loading. We present the Hamilton-Jacobi-Bellman equation for the related optimal con- trol problems and give conditions under which they can be solved, such that we get an indifference price. Numerical examples are presented.
Period25 Sept 2009
Event titleÖMG+DMV Kongress Graz 2009
Event typeConference
LocationAustriaShow on map

Fields of science

  • 101007 Financial mathematics

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