Dear colleagues,
You are kindly invited to attend the following VGSF research seminar:
***Topic: Approximate Solutions for Indifference Pricing under General
Utility Functions
***Speaker: Antoon Pelsser (University of Amsterdam)
***Time: 2008-04-11, Friday, 15:30-17:00
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
The paper to be presented can be downloaded from the VGSF website
(
http://www.vgsf.ac.at/activities/seminars.htm). The abstract is
attached below.
Professor Antoon Pelsser will arrive at WU-H46 on Thursday. If you would
like to arrange an individual meeting with him, please contact professor
Damir Filipovic.
Best regards,
Youchang
*Abstract. *With the aid of Taylor-based approximations, this paper
presents results
for pricing insurance contracts by using indifference pricing under general
utility functions. We discuss the connection between the resulting
“theoretical”
indifference prices and the pricing rule-of-thumb that practitioners
use: Best Estimate
plus a “Market Value Margin”. Furthermore, we compare our approximations
with known analytical results for exponential and power utility.