Indifference pricing of insurance-linked securities in a multi-period model
type: Item
instance of: scholarly article
title: Indifference pricing of insurance-linked securities in a multi-period model
zbMATH Open document ID: 1487.91140
author: Haibo Liu
author: Zhongyi Yuan
author: Qihe Tang
published in: European Journal of Operational Research
publication date: 2021-06-03T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7354355
zbMATH Keywords: pricing
zbMATH Keywords: contingent claim
zbMATH Keywords: exponential utility
zbMATH Keywords: multi-period model
zbMATH Keywords: time consistency
MaRDI profile type: Publication
full work available at URL: j.ejor.2020.07.028
OpenAlex ID: W3044436207
cites work: Forward dynamic utility functions: a new model and new results
cites work: PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS
cites work: Coherent measures of risk
cites work: Utility indifference valuation for non-smooth payoffs with an application to power derivatives
cites work: Q5505177
cites work: Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
cites work: An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
cites work: European Option Pricing with Transaction Costs
cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES
cites work: Indifference prices of structured catastrophe (CAT) bonds
cites work: Utility indifference pricing of insurance catastrophe derivatives
cites work: Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
cites work: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
cites work: Q3868650
cites work: Pseudo linear pricing rule for utility indifference valuation
cites work: A dynamic programming approach to constrained portfolios
cites work: Utility indifference pricing of derivatives written on industrial loss indices
cites work: Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
cites work: A comparison of biased simulation schemes for stochastic volatility models
cites work: INDIFFERENCE PRICES AND IMPLIED VOLATILITIES
cites work: Indifference pricing for CRRA utilities
cites work: Claim pricing and hedging under market incompleteness and ``mean-variance'' preferences
cites work: An example of indifference prices under exponential preferences
cites work: A valuation algorithm for indifference prices in incomplete markets
cites work: Q3613974
cites work: Stochastic differential equations. An introduction with applications.
cites work: Applied stochastic control of jump diffusions.
cites work: Pricing via utility maximization and entropy.
cites work: Q4657108
cites work: CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION
cites work: PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
cites work: INDIFFERENCE VALUATION OF MORTGAGE-BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK
DOI: 10.1016/J.EJOR.2020.07.028
description: scientific article; zbMATH DE number 7354355