Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
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References listed on IDEAS
- J. David Cummins & Mary A. Weiss, 2009. "Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk-Transfer Solutions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 493-545.
- Lin, X. Sheldon & Wang, Tao, 2009. "Pricing perpetual American catastrophe put options: A penalty function approach," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 287-295, April.
- Gerber, Hans U. & Shiu, Elias S. W., 1996. "Actuarial bridges to dynamic hedging and option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 183-218, November.
- Thomas J. Sargent & LarsPeter Hansen, 2001. "Robust Control and Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 60-66, May.
- Christian Gollier, 2005. "Some Aspects of the Economics of Catastrophe Risk Insurance," CESifo Working Paper Series 1409, CESifo Group Munich.
- Cummins, J. David & Lalonde, David & Phillips, Richard D., 2004.
"The basis risk of catastrophic-loss index securities,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Anwar, Sajid & Zheng, Mingli, 2012. "Competitive insurance market in the presence of ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 79-84.
- Jeleva, Meglena & Tallon, Jean-Marc, 2016.
"Ambiguïté, comportements et marchés financiers,"
Société Canadienne de Science Economique, vol. 92(1-2), pages 351-383, Mars-Juin.
- Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01109639, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01410661, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," Post-Print halshs-01109639, HAL.
- repec:bla:jrinsu:v:83:y:2016:i:4:p:811-847 is not listed on IDEAS
- Oliver Walker & Simon Dietz, 2012. "Ambiguity and insurance: robust capital requirements and premiums," GRI Working Papers 97, Grantham Research Institute on Climate Change and the Environment.
- repec:eee:insuma:v:77:y:2017:i:c:p:14-23 is not listed on IDEAS
More about this item
KeywordsIM30 IM51 IE11 Ambiguity aversion Catastrophe-linked securities Esscher transform Robust control theory Gerber-Shiu penalty function;
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