The lessons from the US Subprime Mortgage Crisis have rich implications for understanding Chinese families' potential asset depreciation risks. Based on a national household survey and macroeconomic data, this study examines Chinese families' financial leverage of housing assets. Survey analysis...

This paper incorporates model uncertainty to study an inter-temporal investment-consumption choice problem. Using a modified Cox-Ingersoll-Ross model in a complete market context, we propose an approach for quantifying uncertainty, which requires only an uncertainty parameter rather than an...

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...

Classical interval estimation ignores misspecification uncertainty that is almost inevitable in practice. This paper proposes an approach to construct an uncertainty interval that incorporates misspecification based on an $f$-divergence. We construct the uncertainty interval estimators using...