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Ambiguity and insurance : capital requirements and premiums

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<titleInfo>
<title>Ambiguity and insurance</title>
<subTitle>: capital requirements and premiums</subTitle>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20190006224">
<namePart>Walker, Oliver</namePart>
<nameIdentifier>MAPA20190006224</nameIdentifier>
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<genre authority="marcgt">periodical</genre>
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<dateIssued encoding="marc">2019</dateIssued>
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<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
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<abstract displayLabel="Summary">Many insurance contracts are contingent on events such as hurricanes, terrorist attacks, or political upheavals, whose probabilities are ambiguous. This article offers a theory to underpin the large body of empirical evidence showing that higher premiums are charged under ambiguity. We model a (re)insurer that maximizes profit subject to a survival constraint that is sensitive to the range of estimates of the probability of ruin, as well as the insurer's attitude toward this ambiguity. We characterize when one book of insurance is more ambiguous than another and general circumstances in which a more ambiguous book requires at least as large a capital holding. We subsequently derive several explicit formulae for the price of insurance contracts under ambiguity, each of which identifies the extra ambiguity load. </abstract>
<note type="statement of responsibility">Simon Dietz, Oliver Walker</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080586294">
<topic>Mercado de seguros</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080598358">
<topic>Productos de seguros</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080604394">
<topic>Valoración de riesgos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080643812">
<topic>Riesgos globales</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080616106">
<topic>Cálculo de probabilidades</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080578879">
<topic>Análisis empírico</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080584290">
<topic>Contrato de seguro</topic>
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<classification authority="">6</classification>
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<titleInfo>
<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
<part>
<text>01/03/2019 Volumen 86 Número 1 - marzo 2019 , p. 213-235</text>
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<recordCreationDate encoding="marc">190517</recordCreationDate>
<recordChangeDate encoding="iso8601">20220911202938.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20190014106</recordIdentifier>
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