Indifference Pricing of Reinsurance with Reinstatements Using Coherent Monetary Criteria - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2020

Indifference Pricing of Reinsurance with Reinstatements Using Coherent Monetary Criteria

Résumé

We consider the problem of indifference pricing of reinsurance contracts that contain a reinstatement clause. We define the indifference price relative to both a monetary utility function and a risk measure, to take into account both the risk reduction and the relief of capital immobilization provided by reinsurance. We characterize the indifference price as the unique solution to a fixed point equation and we bound the price by two easily computable values, if one has access to losses simulations. We illustrate our results on a European catastrophe insurance portfolio, and we conduct a simulation study for comparison and reproducibility purposes, where we include the case of dependence between claim arrivals, using Hawkes processes.
Fichier principal
Vignette du fichier
Indifference Pricing of Reinsurance with Reinstatements Using Coherent Monetary Criteria.pdf (390.33 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-01742638 , version 1 (25-03-2018)
hal-01742638 , version 2 (15-12-2020)

Identifiants

  • HAL Id : hal-01742638 , version 2

Citer

Nabil Kazi-Tani. Indifference Pricing of Reinsurance with Reinstatements Using Coherent Monetary Criteria. 2020. ⟨hal-01742638v2⟩
129 Consultations
605 Téléchargements

Partager

Gmail Facebook X LinkedIn More