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.