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

DOI10.1016/J.INSMATHECO.2011.02.001MaRDI QIDQ2276257zbMATH OpenOpenAlexFDO

Authors 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 aversioncatastrophe-linked securitiesEsscher transformGerber-Shiu penalty functionrobust control theory

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(9)

• Wanting robustness in insurance: a model of catastrophe risk pricing and its empirical test
• Heterogeneous expectations and speculative behavior in insurance-linked securities
• Indifference pricing of insurance-linked securities in a multi-period model
• The annuity puzzle and consumption hump under ambiguous life expectancy
• Catastrophe risk bonds with applications to earthquakes
• Competitive insurance market in the presence of ambiguity
• Sharing catastrophe risk under model uncertainty
• Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
• Inverse problems to estimate market price of risk in catastrophe bonds

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