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

Wenge Zhu

Insurance: Mathematics and Economics, 2011, vol. 49, issue 1, 38-46

Abstract: To explain several stylized facts concerning catastrophe-linked securities premium spread, we propose an intertemporal equilibrium model by allowing agents to act in a robust control framework against model misspecification with respect to rare events. We have presented closed-form pricing formulas in some special cases and tested the model using empirical data and simulation.

Keywords: IM30; IM51; IE11; Ambiguity; aversion; Catastrophe-linked; securities; Esscher; transform; Robust; control; theory; Gerber-Shiu; penalty; function (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:1:p:38-46

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