Correlated intensity, counter party risks, and dependent mortalities (Q661258)
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scientific article; zbMATH DE number 6004763
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Correlated intensity, counter party risks, and dependent mortalities |
scientific article; zbMATH DE number 6004763 |
Statements
Correlated intensity, counter party risks, and dependent mortalities (English)
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10 February 2012
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correlated defaults
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change of measure
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martingale
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first-to-default time
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flight to quality
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dependent mortality
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universal variable life insurance
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indifference pricing
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0.7840196490287781
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0.752220094203949
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0.7511743307113647
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0.7437840700149536
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0.7433072924613953
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