非线性仿射过程模型不确定性下的约化设定
Reduced-form setting under model uncertainty with non-linear affine processes
摘要：
在本文中，我们扩展了[5]中引入的模型不确定性下的简化形式设置，以包括[15]中定义的参数不确定性下仿射过程的强度。这个框架允许引入一个长寿债券模型的不确定性下，在一个先前的经典情况下，以一致的方式，并计算其估值数值。此外，我们还可以利用次线性条件算子对未定权益进行定价，使得扩展后的市场在[6]中的“第一类无套利”意义下仍然是无套利的。
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 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].
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