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| Content Provider | Springer Nature Link |
|---|---|
| Author | Fan, Yu Lian |
| Copyright Year | 2011 |
| Abstract | In the context of model uncertainty, we study the optimal design and the pricing of financial instruments aiming to hedge some of non-tradable risks. For the existence of model uncertainty, the preference can be represented by the robust expected utility (also called maxmin expected utility) which can be put in the framework of sublinear expectation. The problem of maximizing the issuer’s robust expected utility under the constraint imposed by the buyer can be transformed to the problem of minimizing the issuer’s convex measure under the corresponding constraint. And here the convex measure measures not only the risks but also the model uncertainties. |
| Ending Page | 1614 |
| Page Count | 18 |
| Starting Page | 1597 |
| File Format | |
| ISSN | 14398516 |
| e-ISSN | 14397617 |
| Journal | Acta Mathematica Sinica, English Series |
| Issue Number | 8 |
| Volume Number | 28 |
| Language | English |
| Publisher | Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society |
| Publisher Date | 2011-10-28 |
| Publisher Place | Heidelberg |
| Access Restriction | One Nation One Subscription (ONOS) |
| Subject Keyword | Asset pricing models Risk theory, insurance Applications to actuarial sciences and financial mathematics Signal detection and filtering risk measure Applications in optimization, convex analysis, mathematical programming, economics Mathematics sublinear expectation indifference pricing Model uncertainty |
| Content Type | Text |
| Resource Type | Article |
| Subject | Applied Mathematics |
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