TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
针对养老金和保险公司组合等具有金融风险的收益，提出一种名为“两步市场评价”的新方法，该方法兼具时间一致性和市场一致性，并给出公理刻画。
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 continuous stock prices 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.