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

Insurance-linked securities (ILS) have recently become an important risk transfer mechanism to help insurers and reinsurers catastrophe risks the capital market. We employ utility indifference approach establish a pricing framework for representative agent who trades ILS with payoff linked insurance process reference rate process. The agent, while investing in financial market composed of traditional instruments, discovers her prices by weighing trade on exponential utility. problem has been studied extensively, but mainly one-period models that are best suited zero-coupon instruments. In view prevalence interim payments, we extend study multi-period model working time 0 equivalent values solving optimization problem. offer insights into issues such as coherence consistency ask bid obtained. Finally, conduct sensitivity analysis against certain parameters.