Robust risk control with reinsurance and CAT bonds

• Main Authors: Li, Yongwu, Wei, Pengyu
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2024
• Subjects: Business and Management; Risk control; CAT Bonds
• Online Access: https://hdl.handle.net/10356/180558
• Institution: Nanyang Technological University

This research studies robust risk control policies for an ambiguity-averse insurer. The insurer can manage its risk exposure through the purchase of reinsurance and the issuance of parametric catastrophe (CAT) bonds, which are linked to an exogenous trigger index. The insurer worries about the verac...