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Living With Ambiguity: Pricing Mortality-Linked Securities With Smooth Ambiguity Preferences

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  • Hua Chen
  • Michael Sherris
  • Tao Sun
  • Wenge Zhu
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    File URL: http://hdl.handle.net/10.1111/j.1539-6975.2013.12001.x
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    Bibliographic Info

    Article provided by The American Risk and Insurance Association in its journal The Journal of Risk and Insurance.

    Volume (Year): 80 (2013)
    Issue (Month): 3 (09)
    Pages: 705-732

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    Handle: RePEc:bla:jrinsu:v:80:y:2013:i:3:p:705-732

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    1. Epstein, Larry G. & Schneider, Martin, 2003. "Recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
    2. Andrew J. G. Cairns & David Blake & Kevin Dowd, 2006. "A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 687-718.
    3. Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009. "Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.
    4. Marco Taboga, 2005. "Portfolio Selection with Two-Stage Preferences," Finance 0506009, EconWPA.
    5. Gollier, Christian, 2009. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," IDEI Working Papers 357, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2011.
    6. Johnny Siu‐Hang Li & Andrew Cheuk‐Yin Ng, 2011. "Canonical Valuation of Mortality‐Linked Securities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(4), pages 853-884, December.
    7. Sujoy Mukerji & Kevin Sheppard & Fabrice Collard and Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Economics Series Working Papers 550, University of Oxford, Department of Economics.
    8. Kogure, Atsuyuki & Kurachi, Yoshiyuki, 2010. "A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 162-172, February.
    9. Michel Denuit & Pierre Devolder & Anne-Cécile Goderniaux, 2007. "Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee-Carter Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(1), pages 87-113.
    10. Hua Chen & Samuel H. Cox, 2009. "Modeling Mortality With Jumps: Applications to Mortality Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 727-751.
    11. Jun Liu, 2005. "An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks," Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 131-164.
    12. Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
    13. Polterovich, Victor & Mityushin, Leonid, 1978. "Criteria for Monotonicity of Demand Functions," MPRA Paper 20097, University Library of Munich, Germany.
    14. Cox, Samuel H. & Lin, Yijia & Pedersen, Hal, 2010. "Mortality risk modeling: Applications to insurance securitization," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 242-253, February.
    15. Kevin Dowd & David Blake & Andrew J. G. Cairns & Paul Dawson, 2006. "Survivor Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(1), pages 1-17.
    16. Svensson, Lars E. O. & Werner, Ingrid M., 1993. "Nontraded assets in incomplete markets : Pricing and portfolio choice," European Economic Review, Elsevier, vol. 37(5), pages 1149-1168, June.
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