This paper deals with the problem of pricing a financial product relying on
an index of reported claims from catastrophe insurance. The problem of pri
cing such products is that, at a fixed time in the trading period, the tota
l claim amount from the catastrophes occurred is not known. Therefore, one
has to price these products solely from knowing the aggregate amount of the
reported claims at the fixed time point. This paper will propose a way to
handle this problem, and will thereby extend the existing pricing models fo
r products of this kind. (C) 2000 Elsevier Science B.V. All rights reserved
. MSG: 62P05; 60G55; 91B16; 62E17.