Indifference pricing of reinsurance with reinstatements using coherent monetary criteria (Q825296)
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scientific article; zbMATH DE number 7447464
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Indifference pricing of reinsurance with reinstatements using coherent monetary criteria |
scientific article; zbMATH DE number 7447464 |
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Indifference pricing of reinsurance with reinstatements using coherent monetary criteria (English)
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17 December 2021
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The author considers the problem of indifference pricing of reinsurance contracts that contain a reinstatement clause. The indifference price is defined relative to both a monetary utility function and a risk measure. It is characterized as the unique solution to a fixed point equation and is bounded by two easily computable values, if one has access to losses simulations. \newline The results are illustrated on a European catastrophe insurance portfolio. Simulation study is conducted for comparison and reproducibility purposes, where the case of dependence between claim arrivals is included using Hawkes processes.
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insurance premium calculation
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convex risk measures
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monetary utility functions
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reinsurance layers
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reinstatements
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