论文标题
强大的渐近保险金额套利
Robust asymptotic insurance-finance arbitrage
论文作者
论文摘要
在大多数情况下，保险合同与金融市场有关，例如通过利率或股权连接的保险产品。为了激发这些混合市场的评估规则，Artzner等人。 （2022）介绍了保险金套利的概念。在本文中，我们通过结合模型不确定性来扩展其设置。为此，我们允许基础动力学中的统计不确定性由一组先验$ \ Mathscr {p} $表示。在此框架内，我们介绍了强大的渐近保险金额套利的概念，并根据$ {q} \ Mathscr {p} $ - 评估的概念来表征缺乏此类策略的概念。这是一项非线性的两步评估，可以保证不健壮的渐近保险金额套利。此外，只要我们同意在PRIORS $ \ MATHSCR {p} $的集合中，$ {q} \ Mathscr {p} $ - 评估就会主导所有两步评估，这表明这些两步评估不允许进行可靠的渐进率保险金额套利。此外，我们在投降和生存的不确定性下引入了一个双重的随机模型。在这种情况下，我们通过Copulas描述条件依赖性，并说明$ {Q} \ Mathscr {p} $如何使用评估是用于混合保险产品的定价。
In most cases, insurance contracts are linked to the financial markets, such as through interest rates or equity-linked insurance products. To motivate an evaluation rule in these hybrid markets, Artzner et al. (2022) introduced the notion of insurance-finance arbitrage. In this paper we extend their setting by incorporating model uncertainty. To this end, we allow statistical uncertainty in the underlying dynamics to be represented by a set of priors $\mathscr{P}$. Within this framework we introduce the notion of robust asymptotic insurance-finance arbitrage and characterize the absence of such strategies in terms of the concept of ${Q}\mathscr{P}$-evaluations. This is a nonlinear two-step evaluation which guarantees no robust asymptotic insurance-finance arbitrage. Moreover, the ${Q}\mathscr{P}$-evaluation dominates all two-step evaluations as long as we agree on the set of priors $\mathscr{P}$ which shows that those two-step evaluations do not allow for robust asymptotic insurance-finance arbitrages. Furthermore, we introduce a doubly stochastic model under uncertainty for surrender and survival. In this setting, we describe conditional dependence by means of copulas and illustrate how the ${Q}\mathscr{P}$-evaluation can be used for the pricing of hybrid insurance products.
