摘要翻译：
最近的理论结果表明，时间一致的估值（即定价算子）可以通过单周期估值的反向迭代来创建。在本文中，我们研究了当应用这种反向迭代过程时，著名的精算保费原理的连续时间极限。我们证明了单周期方差溢价原理收敛于非线性指数无差异估值。此外，我们还研究了单期标准差原理的收敛性，证明了保险行业广泛使用的资本成本原理收敛到与标准差原理相同的极限。最后，我们研究了时间一致定价算子、好交易界定价和模型模糊下的定价之间的联系。
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英文标题：
《Time-Consistent Actuarial Valuations》
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作者：
Antoon Pelsser
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最新提交年份：
2011
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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：
  Recent theoretical results establish that time-consistent valuations (i.e. pricing operators) can be created by backward iteration of one-period valuations. In this paper we investigate the continuous-time limits of well-known actuarial premium principles when such backward iteration procedures are applied. We show that the one-period variance premiumprinciple converges to the non-linear exponential indifference valuation. Furthermore, we study the convergence of the one-period standard-deviation principle and establish that the Cost-of-Capital principle, which is widely used by the insurance industry, converges to the same limit as the standard-deviation principle. Finally, we study the connections between our time-consistent pricing operators, Good Deal Bound pricing and pricing under model ambiguity.
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PDF链接：
https://arxiv.org/pdf/1109.1751