Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity
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Publication:5265543
DOI10.4064/bc105-0-13zbMath1334.60123arXiv1306.6267OpenAlexW3121612702MaRDI QIDQ5265543
Stefan Tappe, Thorsten Schmidt
Publication date: 28 July 2015
Published in: Banach Center Publications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.6267
life insuranceportfolio credit riskBrownian motionsinteger-valued random measuredynamic term structure models
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