主 题: Pricing Bonds Linked to Insurance Risks: Utility Indirence vs Probability Distortion
内容简介: Large losses from recent insurance events have caused great concerns among insurers and have to a large extent stimulated the quick expansion of the insurance linked security (ILS) market. In this talk, I shall discuss two approaches that we recently developed to pricing bonds that are linked to insurance risks, one based on a utility indi?erence framework, and the other based on a probability distortion framework.The bond under consideration is allowed to bear coupon payments under both frameworks. Under the utility indi?erence framework, we obtain a time-0 pricing scheme that renders bond prices that evolve according to not only the spot values of the underlying risk factors, but also how they have developed to those levels (i.e., their historical values back until time 0).
报告人: 袁中一 助理教授
时 间: 2018-06-06 10:00
地 点: 竞慧东楼305
举办单位: 统计与数学学院
