Reduced-form framework for life insurance liabilities under model uncertainty


In this paper we extend the classic reduced-form setting for credit and insurance markets to the case under model uncertainty, when we consider a family of priors possibly mutually singular to each other. To this end, we... [ view full abstract ]


  1. Francesca Biagini (University of Munich)
  2. Yinglin Zhang (University of Munich)

Topic Areas

Credit Risk , Insurance , Robustness


MO-P-B1 » Insurance (14:30 - Monday, 16th July, Beckett 1)

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