不确定性下的最优控制：应用于发行 CAT 债券

IF 1.9 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2024-03-28 DOI:10.1016/j.insmatheco.2024.03.004

Nicolas Baradel

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引用次数: 0

摘要

我们提出了一个通用框架，用于研究在参数不确定的情况下如何优化发行 CAT 债券。特别是，自然灾害来临的强度是不均匀的，可能取决于未知参数。给定未知参数分布的先验值后，我们将根据经典的贝叶斯规则解释该先验值应如何演变。考虑到这些渐进的先验调整，我们通过一个准变量抛物线方程来描述最优政策的特征，该方程可以数值求解。我们提供了在佛罗里达州飓风背景下的应用实例。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Optimal control under uncertainty: Application to the issue of CAT bonds

We propose a general framework for studying optimal issue of CAT bonds in the presence of uncertainty on the parameters. In particular, the intensity of arrival of natural disasters is inhomogeneous and may depend on unknown parameters. Given a prior on the distribution of the unknown parameters, we explain how it should evolve according to the classical Bayes rule. Taking these progressive prior-adjustments into account, we characterize the optimal policy through a quasi-variational parabolic equation, which can be solved numerically. We provide examples of application in the context of hurricanes in Florida.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.