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

To explain several stylized facts concerning catastrophe-linked securities premium spread, we propose an intertemporal equilibrium model by allowing agents to act in a robust control framework against model misspecification with respect to rare events. We have presented closed-form pricing formulas in some special cases and tested the model using empirical data and simulation.

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Year of publication:	2011
Authors:	Zhu, Wenge
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 49.2011, 1, p. 38-46
Publisher:	Elsevier
Keywords:	IM30 IM51 IE11 Ambiguity aversion Catastrophe-linked securities Esscher transform Robust control theory Gerber-Shiu penalty function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009146182