Time-dynamic evaluations under non-monotone information generated by marked point processes

DOI10.1007/s00780-021-00456-5zbMath1470.91302arXiv1811.00952OpenAlexW3166563513MaRDI QIDQ2049553

Marcus C. Christiansen

Publication date: 27 August 2021

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.00952

zbMATH Keywords

optional projectionscredit risk modellinginfinitesimal martingale representationsinformation restrictionslife insurance modelling

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Credit risk (91G40) Actuarial mathematics (91G05)

Related Items (1)

Transaction time models in multi-state life insurance

Cites Work

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