In the probabilistic risk aversion approach, risks are presumed as random variables with known probability distributions. However, in some practical cases, for example, due to the absence of historical data, the inherent uncertain characteristic of risks or different subject judgements from the...

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...

This paper explores the effects of public information (e.g., accounting earnings) in a competitive lending setting where the borrower can engage in risk shifting. If a privately informed "inside" creditor bids against outsider creditors, public information levels the playing field with...