Random distribution kernels and three types of defaultable contingent payoffs

DOI10.1016/j.insmatheco.2019.01.004zbMath1415.62083OpenAlexW2911466108MaRDI QIDQ1735048

Jinchun Ye

Publication date: 28 March 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.01.004

zbMATH Keywords

representation theoremstochastic intensitycredit/mortality riskrandom distribution kernelthree types of defaultable contingent payoffs

Mathematics Subject Classification ID

Related Items (3)

Optimal social welfare policy within financial and life insurance markets ⋮ Two frameworks for pricing defaultable derivatives ⋮ Stochastic utilities with subsistence and satiation: optimal life insurance purchase, consumption and investment

Cites Work

• On Cox processes and credit risky securities
• Affine processes for dynamic mortality and actuarial valuations
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