Robust risk control with reinsurance and CAT bonds

• المؤلفون الرئيسيون: Li, Yongwu, Wei, Pengyu
• مؤلفون آخرون: Nanyang Business School
• التنسيق: مقال
• اللغة: English
• منشور في: 2024
• الموضوعات: Business and Management; Risk control; CAT Bonds
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/180558

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...