Optimal Design of Dynamic Default Risk Measures
From MaRDI portal
Publication:4903036
DOI10.1239/JAP/1354716651zbMATH Open1262.60055OpenAlexW1976603130MaRDI QIDQ4903036FDOQ4903036
Authors: Leo Shen, Robert J. Elliott 
Publication date: 19 January 2013
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1354716651
Recommendations
- scientific article; zbMATH DE number 2133102
- Optimization of risk measures
- General dynamic term structures under default risk
- Valuation and optimal design to defaultable security
- OPTIMAL NUMERAIRES FOR RISK MEASURES
- Dynamic risk measures under model uncertainty
- The optimal analysis of default probability for a credit risk model
- Optimal design of default risk reinsurance under general premium principle
- Optimal investment and pricing in the presence of defaults
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Adapted solution of a backward stochastic differential equation
- Stochastic finance. An introduction in discrete time
- Title not available (Why is that?)
- Title not available (Why is that?)
- Solutions of backward stochastic differential equations on Markov chains
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Title not available (Why is that?)
- Backward stochastic differential equations for a single jump process
- A general theory of finite state backward stochastic difference equations
- Title not available (Why is that?)
- The Representation of Martingales of Jump Processes
- Title not available (Why is that?)
Cited In (6)
This page was built for publication: Optimal Design of Dynamic Default Risk Measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4903036)
