Pricing catastrophe insurance products based on actually reported claims

被引：20

作者：

Christensen, CV ^{[1
]}

Schmidli, H ^{[1
]}

机构：

[1] Aarhus Univ, Inst Math, DK-8000 Aarhus, Denmark

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2000年 / 27卷 / 02期

关键词：

insurance futures; derivatives; claims-process; catastrophe insurance; mixed Poisson model; change of measure; expected utility; approximations;

D O I：

10.1016/S0167-6687(00)00047-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper deals with the problem of pricing a financial product relying on an index of reported claims from catastrophe insurance. The problem of pricing such products is that, at a fixed time in the trading period, the total claim amount from the catastrophes occurred is not known. Therefore, one has to price these products solely from knowing the aggregate amount of the reported claims at the fixed time point. This paper will propose a way to handle this problem, and will thereby extend the existing pricing models for products of this kind. (C) 2000 Elsevier Science B.V. All rights reserved. MSG: 62P05; 60G55; 91B16; 62E17.

引用

页码：189 / 200

页数：12

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