Indifference pricing of reinsurance with reinstatements using coherent monetary criteria

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      <subfield code="c">Nabil Kazi-Tani</subfield>
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      <subfield code="a">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.

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      <subfield code="a">Modelos de simulación</subfield>
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      <subfield code="t">European Actuarial Journal</subfield>
      <subfield code="d">Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</subfield>
      <subfield code="g">07/06/2021 Número 1 - junio 2021 , p. 161-183</subfield>
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