The Risk Transfer of Non-tradable Risks under Model Uncertainty  

作　　者：Yu Lian FAN 

机构地区：[1]Department of Mathematics,North China University of Technology

出　　处：《Acta Mathematica Sinica,English Series》2012年第8期1597-1614,共18页数学学报（英文版）

基　　金：Supported by Beijing Natural Science Foundation(Grant No.1112009)

摘　　要：In the context of model uncertainty, we study the optimal design and the pricing of financial instruments aiming to hedge some of non-tradable risks. For the existence of model uncertainty, the preference can be represented by the robust expected utility （also called maxmin expected utility） which can be put in the framework of sublinear expectation. The problem of maximizing the issuer＇s robust expected utility under the constraint imposed by the buyer can be transformed to the problem of minimizing the issuer＇s convex measure under the corresponding constraint. And here the convex measure measures not only the risks but also the model uncertainties.In the context of model uncertainty, we study the optimal design and the pricing of financial instruments aiming to hedge some of non-tradable risks. For the existence of model uncertainty, the preference can be represented by the robust expected utility （also called maxmin expected utility） which can be put in the framework of sublinear expectation. The problem of maximizing the issuer＇s robust expected utility under the constraint imposed by the buyer can be transformed to the problem of minimizing the issuer＇s convex measure under the corresponding constraint. And here the convex measure measures not only the risks but also the model uncertainties.

关 键 词：Model uncertainty sublinear expectation indifference pricing risk measure 

分 类 号：O211.67[理学—概率论与数理统计] TP273[理学—数学]