A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling

DOI10.1080/17442508.2020.1760866zbMath1490.60123OpenAlexW3025967800MaRDI QIDQ5086640

Aparna Mehra, Anubha Goel

Publication date: 6 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2020.1760866

zbMATH Keywords

copulainsurancecredit riskregime-switchingjump-diffusion processcontinuous time Markov chain

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40) Applications of continuous-time Markov processes on discrete state spaces (60J28) Actuarial mathematics (91G05) Jump processes on general state spaces (60J76)

Cites Work

• Unnamed Item
• Unnamed Item
• A reduced-form model for correlated defaults with regime-switching shot noise intensities
• On Cox processes and credit risky securities
• Intensity-based framework for surrender modeling in life insurance
• Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
• Affine processes for dynamic mortality and actuarial valuations
• Basket CDS pricing with interacting intensities
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• A Markov modulated dynamic contagion process with application to credit risk
• A contagion model with Markov regime-switching intensities
• On the default probability in a regime-switching regulated market
• On a reduced form credit risk model with common shock and regime switching
• Affine stochastic mortality
• A regime-switching model with jumps and its application to bond pricing and insurance
• Affine Point Processes and Portfolio Credit Risk
• Pricing the credit default swap rate for jump diffusion default intensity processes
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
• An Intertemporal General Equilibrium Model of Asset Prices
• Exponential inequalities for ruin probabilities in the Cox case
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Correlated default models driven by a multivariate regime-switching shot noise process
• An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions
• An equilibrium characterization of the term structure
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS

This page was built for publication: A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling