Reduced-form setting under model uncertainty with non-linear affine intensities  

作　　者：Francesca Biagini Katharina Oberpriller 

机构地区：[1]Department of Mathematics,Workgroup Financial and Insurance Mathematics,University of Munich(LMU),Theresienstraße 39,80333 Munich,Germany [2]Department of Mathematics of Natural,Social and Life Sciences,Gran Sasso Science Institute(GSSI),Viale F.Crispi 7,67100 L’Aquila,Italy

出　　处：《Probability, Uncertainty and Quantitative Risk》2021年第3期159-188,共30页概率、不确定性与定量风险（英文）

摘　　要：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 us to introduce a longevity bond under model uncertainty in a way consistent with the classical case under one prior and to compute its valuation numerically.Moreover,we 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].

关 键 词：Sublinear expectation Reduced-form framework Non-linear affine processes Arbitrage-free pricing 

分 类 号：O17[理学—数学]