标题： 稳健的保险定价与流动性管理 显示英文标题

标题： Robust Insurance Pricing and Liquidity Management

摘要： 随着新兴风险的增加，模型不确定性在保险行业中构成了一个根本性的挑战，使得稳健定价成为一个首要问题。 本文研究了保险公司对稳健性的偏好如何塑造动态保险市场中的竞争均衡。 保险公司优化其承保和流动性管理策略以最大化股东价值，从而导致可以解析推导和数值求解的均衡结果。 与没有模型不确定性的基准相比，稳健的保险定价导致了显著更高的保费和股权估值。 值得注意的是，我们的模型得出了三个新的见解：（1）总承保能力的最小值、最大值和可接受范围都扩大了，表明保险公司的流动性管理变得更加保守。 （2）承保周期的预期长度显著增加，远远超过早期实证研究中通常报告的范围。 （3）虽然在长期中容量过程仍然是遍历的，但平稳密度在低容量状态中更加集中，这意味着流动性受限的保险公司需要更长时间才能恢复。 这些发现共同为近期对承保周期实证证据的怀疑提供了一个可能的解释，表明这些周期确实存在，但比之前假设的要长得多。 显示英文摘要

摘要： With the rise of emerging risks, model uncertainty poses a fundamental challenge in the insurance industry, making robust pricing a first-order question. This paper investigates how insurers' robustness preferences shape competitive equilibrium in a dynamic insurance market. Insurers optimize their underwriting and liquidity management strategies to maximize shareholder value, leading to equilibrium outcomes that can be analytically derived and numerically solved. Compared to a benchmark without model uncertainty, robust insurance pricing results in significantly higher premiums and equity valuations. Notably, our model yields three novel insights: (1) The minimum, maximum, and admissible range of aggregate capacity all expand, indicating that insurers' liquidity management becomes more conservative. (2) The expected length of the underwriting cycle increases substantially, far exceeding the range commonly reported in earlier empirical studies. (3) While the capacity process remains ergodic in the long run, the stationary density becomes more concentrated in low-capacity states, implying that liquidity-constrained insurers require longer to recover. Together, these findings provide a potential explanation for recent skepticism regarding the empirical evidence of underwriting cycles, suggesting that such cycles may indeed exist but are considerably longer than previously assumed.