Well, this is not as simple as it should be.

1. Create a SkyDome Light
2. Create a file node for the Color (aiSkyDomeLightShape node).
3. Load an .exr or .hdr panoramic image (LatLong spherical panoramic high dynamic range image) http://www.hdrlabs.com/sibl/archive.html
4. Go to Render Settings->Arnold Render->Environment->Background, left click on the checker box->Create Sky Shader
5. Connect the file node (created earlier) to aiSky node’s Color attribute.
   Or create a new file node and load the high res, 8 bit version of the image (.jpg).
6. In the siSky node, open the Render Stats section and turn off: Casts Shadows, Visible in Diffuse, Visible in Glossy.
   Enable Visible in Refractions.
7. Increase the Sky Radius attribute (to at least 10000 to decrease the parallax) in both aiSkyDomeLight and aiSky nodes. Use the Channel Box.

Done.

Tip: Do not forget, if you want transparent (refractive) objects you have to turn off their Opaque attribute.
Select the object->Mesh node->Arnold section, uncheck Opaque.

Cheers, D