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

作者：Zhu, Wenge^*

来源：Insurance: Mathematics and Economics , 2011, 49(1): 38-46.

DOI：10.1016/j.insmatheco.2011.02.001

• Ambiguity aversion
• Catastrophe-linked securities
• Esscher transform
• Robust control theory
• Gerber-Shiu penalty function

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.

• 出版日期2011-7
• 单位上海财经大学