Utility indifference pricing of CAT bonds for insurance companies facing finite demand
Sprache des Vortragstitels:
ÖMG+DMV Kongress Graz 2009
Sprache des Tagungstitel:
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.