Prof. Francesca Biagini (LMU Munich) will give a virtual talk at our Department seminar.

Date: 13 October 12:00 CEST.

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

If you would like to attend via Zoom, please register at the following link, we will send you the details:

https://docs.google.com/forms/d/e/1FAIpQLSe6_5W5PbKr9R3fufAahV1D4js4-6AAcEn6IizTf5G-vLRnJA/viewform

Abstract:

In this talk we present  a market model including financial assets and  

life insurance liabilities  within a reduced-form framework under model 

uncertainty by following  [1]. In particular

we extend this framework to include mortality  intensities following an 

affine process under parameter uncertainty, as defined in [2]. 

This allows both to introduce the definition of a longevity bond under 

model uncertainty in a consistent way with the classical case under one 

prior, as well as to compute it by explicit

formulas or by numerical methods. We also study conditions to guarantee 

the existence of a càdlàg modification for the longevity bond’s value 

process.  Furthermore, we show how the resulting

market model extended with the longevity bond is arbitrage-free and study 

arbitrage-free pricing of contingent claims or life insurance liabilities 

in this setting. 

This talk is based on:

 [1] Francesca Biagini and Yinglin Zhang. Reduced-form framework under 

model uncertainty. The Annals of Applied Probability, 29(4):2481–2522, 

2019.

 [2] Francesca Biagini and Katharina Oberpriller. Reduced-form framework 

under model uncertainty.  accepted on Probability, Uncertainty and

Quantitative Risk, 2021. 

 [3] Tolulope Fadina, Ariel Neufeld, and Thorsten Schmidt. Affine 

processes under parameter uncertainty. Probability, Uncertainty and 

Quantitative Risk [link.springer.com] volume 4 (5),

2019.