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- W2893451854 abstract "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." @default.
- W2893451854 created "2018-10-05" @default.
- W2893451854 creator A5025718216 @default.
- W2893451854 date "2018-09-25" @default.
- W2893451854 modified "2023-09-27" @default.
- W2893451854 title "Optimal control under uncertainty: Application to the issue of CAT bonds" @default.
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- W2893451854 hasPublicationYear "2018" @default.
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