Pricing ambiguity in catastrophe risk insurance
Working paper by Simon Dietz, Falk Niehörster on 23 May 2019
The authors of this paper apply a newly developed insurance pricing model to two catastrophe model data sets relating to hurricane risk in two locations in the Atlantic basin, estimating ambiguity loads – the extra insurance premium due to ambiguity – and showing how these depend on the insurer’s attitude to ambiguity. read more »