We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary losses and losses due to catastrophes. In this model we price a catastrophe derivative by the method of utility indifference pricing. The associated stochastic optimization problem is treated by techniques for piecewi...

Current issues regarding scientific ethics have focused for the most part on regulations governing research and publication. I suggest that the internal process by which we separate self interest from the scientific process is a crucial and neglected part of training. Consideration of these issues might help us train better scientists instead of just scientists who adhere to the rules.This is a...

In this paper we introduce the concepts of backward and forward dynamic utilities. Moreover, we derive and analyze the associated with them indifference pricing systems for derivative securities.

The purpose of this article is three-fold: to demonstrate the interface between the theory of scaling and graph theory, to determine the class of unidimensional graphs, and to provide a method for analyzing data which consists cf both dominance and indifference relations. The most definitive work on the subject of data analysis is Coombs’ (1976) A Theory of Data in which eight types of data are...