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Pricing Insurance Derivatives, the Case of CAT-Futures (1997)
| Venue: | Risk, George State University Atlanta, Society of Actuaries, Monograph |
| Citations: | 8 - 1 self |
BibTeX
@INPROCEEDINGS{Embrechts97pricinginsurance,
author = {Paul Embrechts and Steffen Meister},
title = {Pricing Insurance Derivatives, the Case of CAT-Futures},
booktitle = {Risk, George State University Atlanta, Society of Actuaries, Monograph},
year = {1997}
}
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Abstract
Since their appearance on the market, catastrophe insurance futures have triggered a considerable interest from both practitioners as well as academics. As one example of a securitized (re)insurance risk, its pricing and hedging contains many of the key problems to be addressed in the analysis of more general insurance de-rivatives. In the present paper we review the main methodological questions underlying the theoretical pricing of such products. We discuss utility maximi-zation pricing more in detail. A key methodological feature is the theory of incomplete markets. Our paper follows closely the exposition given in Meister (1995). Catastrophe Insurance Futures
