摘要翻译:
我们考虑带有固有金融风险的收益评估方法,例如养老基金和保险公司持有的投资组合。以与市场价格一致的方式对此类收益进行定价通常需要结合精算技术和数学金融学的方法。我们建议通过一种新的与市场一致的评估程序来扩展标准精算原理,我们称之为“两步市场评估”。该程序保留了标准评估技术的结构,并具有许多其他吸引人的特性。给出了两步市场评估的一个完全公理化刻画。进一步证明了在一个股票价格连续的动态环境中,每一个时间一致和市场一致的评估都是两步市场评估。我们也给出了布朗-泊松环境下G-期望的刻画结果和例子。
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英文标题:
《Time-Consistent and Market-Consistent Evaluations》
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作者:
Mitja Stadje, Antoon Pelsser
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最新提交年份:
2013
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要:
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We propose to extend standard actuarial principles by a new market-consistent evaluation procedure which we call `two step market evaluation.' This procedure preserves the structure of standard evaluation techniques and has many other appealing properties. We give a complete axiomatic characterization for two step market evaluations. We show further that in a dynamic setting with a continuous stock prices process every evaluation which is time-consistent and market-consistent is a two step market evaluation. We also give characterization results and examples in terms of g-expectations in a Brownian-Poisson setting.
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PDF链接:
https://arxiv.org/pdf/1109.1749