We are interested in pricing rainfall options written on precipitation at specific locations. We assume the existence of a tradeable financial instrument in the market whose price process is affected by the quantity of rainfall. We then construct a suitable 'Markovian gamma' model for the...

We consider the problem of pricing derivatives written on some industrial loss index via utility indifference pricing. The industrial loss index is modelled by a compound Poisson process and the insurer can adjust her portfolio by choosing the risk loading, which in turn determines the demand....

This paper generalizes earlier work by G. Larcher and the author about hedging with short-term futures contracts, a problem which was considered in connection with the debacle of the German company Metallgesellschaft. While the original problem corresponded to the simplest possible model for the...

This paper generalizes earlier work by G. Larcher and the author about hedging with short-term futures contracts, a problem which was considered in connection with the debacle of the German company Metallgesellschaft. While the original problem corresponded to the simplest possible model for the...