Similar Search Results

Living with Ambiguity : Pricing Mortality-Linked Securities with Smooth Ambiguity Preferences

Chen, Hua - 2014

Mortality is a stochastic process. We have imprecise knowledge about the probability distribution of mortality rates in … the future. Mortality risk, therefore, can be defined in a broad term of ambiguity. In this paper, we investigate the … effects of ambiguity and ambiguity aversion on prices of mortality-linked securities. We adopt an asymmetric mortality jump …

Persistent link: https://www.econbiz.de/10013066606

Catastrophe risk in a stochastic multi-population mortality model

Robben, Jens; Antonio, Katrien - In: The journal of risk & insurance 91 (2024) 3, pp. 599-651

Persistent link: https://www.econbiz.de/10015121184

Scenario-based modeling of interdependent demand and supply uncertainties

Käki, Anssi; Salo, Ahti A.; Talluri, Srinivas - In: IEEE transactions on engineering management : EM 61 (2014) 1, pp. 101-113

Persistent link: https://www.econbiz.de/10010338018

Selecting portfolios given multiple eurostoxx-based uncertainty scenarios : a stochastic goal pro-gramming approach from fuzzy betas

Ballestero, Enrique; Pérez-Gladish, Blanca; … - 2007

Persistent link: https://www.econbiz.de/10003593031

Survival ambiguity and welfare

Caliendo, Frank; Gorry, Aspen; Slavov, Sita N. - In: Journal of economic behavior & organization : JEBO 170 (2020), pp. 20-42

Persistent link: https://www.econbiz.de/10012285671

A multi-parameter-level model for simulating future mortality scenarios with COVID-alike effects

Rui, Zhou; Li, Johnny Siu-Hang - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 3, pp. 453-477

Persistent link: https://www.econbiz.de/10013469916

Optimal control under uncertainty : application to the issue of CAT bonds

Baradel, Nicolas - In: Insurance : mathematics and economics 117 (2024), pp. 16-44

Persistent link: https://www.econbiz.de/10015066883

Optimal investment, consumption and proportional reinsurance under model uncertainty

Peng, Xingchun; Chen, Fenge; Hu, Yijun - In: Insurance / Mathematics & economics 59 (2014), pp. 222-234

Persistent link: https://www.econbiz.de/10010469132

Robust optimal investment and reinsurance problems with learning

Bäuerle, Nicole; Leimcke, Gregor - In: Scandinavian actuarial journal 2021 (2021) 2, pp. 82-109

Persistent link: https://www.econbiz.de/10012500254

Stochastic mortality models and securitization in life insurance

Gaißer, Sandra Caterina - 2006

Persistent link: https://www.econbiz.de/10014005909