Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
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Publication:2276257
DOI10.1016/j.insmatheco.2011.02.001zbMath1218.91158MaRDI QIDQ2276257
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
ambiguity aversion; Gerber-Shiu penalty function; Esscher transform; robust control theory; catastrophe-linked securities
91G20: Derivative securities (option pricing, hedging, etc.)
91G99: Actuarial science and mathematical finance
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