Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing

DOI10.1016/J.INSMATHECO.2011.02.001zbMath1218.91158OpenAlexW2122954573MaRDI QIDQ2276257

Wenge Zhu

Publication date: 1 August 2011

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.02.001

zbMATH Keywords

ambiguity aversionGerber-Shiu penalty functionEsscher transformrobust control theorycatastrophe-linked securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Related Items (5)

Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application ⋮ Wanting robustness in insurance: a model of catastrophe risk pricing and its empirical test ⋮ Competitive insurance market in the presence of ambiguity ⋮ The annuity puzzle and consumption hump under ambiguous life expectancy ⋮ Catastrophe risk bonds with applications to earthquakes

Cites Work

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• Pricing perpetual American catastrophe put options: A penalty function approach
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Actuarial bridges to dynamic hedging and option pricing
• On the Time Value of Ruin

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