Indifference pricing of insurance-linked securities in a multi-period model

Keyphrases

• Indifference Price 100%
• Multi-period Model 100%
• Insurance-linked Securities 100%
• Sensitivity Analysis 16%
• Optimization Problem 16%
• Payoff 16%
• Coupons 16%
• Process Rate 16%
• Financial Markets 16%
• Capital Markets 16%
• Insurer 16%
• Financial Instruments 16%
• Time Inconsistency 16%
• Multi-period Optimization 16%
• Representative Agent 16%
• Equivalent Value 16%
• Exponential Utility 16%
• Pricing Framework 16%
• Reinsurer 16%
• Catastrophe Risk 16%
• Reference Rate 16%
• Risk Parameters 16%
• Utility Indifference 16%
• Interim Payment 16%
• Risk Transfer Mechanism 16%
• Insurance Risk Process 16%

Economics, Econometrics and Finance

• Pricing 100%
• Insurance-Linked Securities 100%
• Price 50%
• Financial Instrument 16%
• Financial Market 16%