论文标题
通过非线性仿射过程，模型不确定性下的形式设置降低
Reduced-form setting under model uncertainty with non-linear affine processes
论文作者
论文摘要
在本文中，我们扩展了[5]中引入的模型不确定性下的降低形式设置，以在[15]中定义的参数不确定性下的仿射过程后包含强度。该框架允许在模型不确定性下以与先验的经典案例一致地引入寿命键，并以数值计算其估值。此外，我们能够将有条件运营商的或有索赔定价，以便从[6]中的“没有第一类套利”的意义上，扩展市场仍然无套利。
In this paper we extend the reduced-form setting under model uncertainty introduced in [5] to include intensities following an affine process under parameter uncertainty, as defined in [15]. This framework allows to introduce a longevity bond under model uncertainty in a consistent way with the classical case under one prior, and to compute its valuation numerically. Moreover, we are able to price a contingent claim with the sublinear conditional operator such that the extended market is still arbitrage-free in the sense of "No Arbitrage of the first kind" as in [6].
