| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077035 | Insurance: Mathematics and Economics | 2011 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Wenge Zhu,