Wanting robustness in insurance: a model of catastrophe risk pricing and its empirical test

DOI10.1016/j.insmatheco.2017.08.006zbMath1422.91382OpenAlexW2751144317MaRDI QIDQ1681081

Wenge Zhu

Publication date: 23 November 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.08.006

zbMATH Keywords

ambiguity aversionrobust control theoryCAT bondscatastrophe risk pricingcatastrophe-linked securities

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times ⋮ Equilibrium in natural catastrophe insurance market under disaster-resistant technologies, financial innovations and government interventions

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