Multiple-prior valuation of cash flows subject to capital requirements
研究保险负债的市场一致性估值，通过假设将负债和避险资产转移至空壳公司，并考虑资本提供者在有限责任和持续资本要求下的最不利预期，推导出负债现金流的递归估值公式，并通过寿险和非寿险案例展示其应用。
We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. The value assigned to an insurance liability is the consequence of (1) considering a hypothetical transfer of an insurance company's liabilities, and financial assets intended to hedge these liabilities, to an empty corporate entity, and (2) considering the circumstances under which a capital provider would want to achieve and maintain ownership of this corporate entity given limited liability for the owner and that capital requirements have to be met at any time for continued ownership. We focus on the consequences of the capital provider assessing the value of continued ownership in terms of a least favorable expectation of future dividends, meaning that we consider expectations with respect to probability measures in a set of equivalent martingale measures. We show that natural conditions on the set of probability measures imply that the value of a liability cash flow is given in terms of a solution to a backward recursion. Through a life and a non-life insurance example we demonstrate how to make the valuation approach operational.