Sharing catastrophe risk under model uncertainty

zbMATH Open1126.91384MaRDI QIDQ3369443FDOQ3369443

Authors: Xiaodong Zhu 

Publication date: 13 February 2006

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zbMATH Keywords

asset pricingestimated probabilitieshigh premium

Mathematics Subject Classification ID

Cited In (5)

• Sharing ambiguous risks
• Reinsurance versus securitization of catastrophe risk
• Wanting robustness in insurance: a model of catastrophe risk pricing and its empirical test
• Equalization reserves for natural catastrophes and shareholder value: a simulation study
• Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing

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