A Note on Credit Insurance

DOI10.2143/AST.36.2.2017925zbMath1162.91423OpenAlexW4246578782MaRDI QIDQ3632839

Johannes Leitner

Publication date: 15 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.36.2.2017925

Mathematics Subject Classification ID

Related Items (1)

Fair (intra-bank transfer) prices for credits with stochastic recovery

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Point processes and queues. Martingale dynamics
• Weighted norm inequalities and hedging in incomplete markets
• A general version of the fundamental theorem of asset pricing
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Optimal investment in incomplete markets when wealth may become negative.
• Coherent Measures of Risk
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• The Representation of Martingales of Jump Processes
• Exponential Hedging and Entropic Penalties
• Credit risk: Modelling, valuation and hedging

This page was built for publication: A Note on Credit Insurance