We investigate statistical arbitrage strategies when there is ambiguity about the underlying time-discrete financial model. Pricing measures are assumed to be martingale measures calibrated to prices of liquidly traded options, whereas the set of admissible physical measures is not necessarily...

This paper is an attempt to study fundamentally the valuation of insurance contracts. We start from the observation that insurance contracts are inherently linked to financial markets, be it via interest rates, or – as in hybrid products, equity-linked life insurance and variable annuities –...

Generalized statistical arbitrage concepts are introduced corresponding to trading strategies which yield positive gains on average in a class of scenarios rather than almost surely. The relevant scenarios or market states are specified via an information system given by a sigma-algebra and so...