Wenge Zhu

Shanghai University of Finance and Economics

AK Shanghai

SCHOLARLY PAPERS

2

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136

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Scholarly Papers (2)

Living with Ambiguity: Pricing Mortality-Linked Securities with Smooth Ambiguity Preferences

Journal of Risk and Insurance, Forthcoming
Number of pages: 40 Posted: 18 Feb 2012 Last Revised: 01 Apr 2014
Hua Chen, Michael Sherris, Tao Sun and Wenge Zhu
University of Hawai?i at M?noa, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, Independent and Shanghai University of Finance and Economics
Downloads 84 (294,064)
Citation 5

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ambiguity, ambiguity aversion, mortality-linked securities

Living with Ambiguity: Pricing Mortality‐Linked Securities with Smooth Ambiguity Preferences

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 705-732, 2013
Number of pages: 28 Posted: 30 Aug 2013
Hua Chen, Michael Sherris, Tao Sun and Wenge Zhu
University of Hawai?i at M?noa, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, Independent and Shanghai University of Finance and Economics
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2.

Ambiguity Types, Robust Learning and Natural Catastrophe Insurance: How Long-Term Contracts May Help

Number of pages: 38 Posted: 20 Jul 2012 Last Revised: 28 May 2016
Shanghai University of Finance and Economics, University of Pennsylvania - Operations, Information and Decisions Department and University of Pennsylvania - The Wharton School - Center for Risk Management
Downloads 51 (378,414)
Citation 2

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Ambiguity Types, Robust Learning, Insurance Pricing, Esscher Transform, LTI