Correlated intensity, counter party risks, and dependent mortalities

DOI10.1016/j.insmatheco.2010.07.008zbMath1231.91214OpenAlexW2086404802MaRDI QIDQ661258

Youngyun Yun, Jin Ma

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.07.008

zbMATH Keywords

martingalechange of measureindifference pricingcorrelated defaultsdependent mortalityfirst-to-default timeflight to qualityuniversal variable life insurance

Mathematics Subject Classification ID

Related Items (6)

A reduced-form model for correlated defaults with regime-switching shot noise intensities ⋮ Pricing catastrophe options with counterparty credit risk in a reduced form model ⋮ Asymptotic results on marginal expected shortfalls for dependent risks ⋮ A contagion model with Markov regime-switching intensities ⋮ A note on multiple life premiums for dependent lifetimes ⋮ A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk

Cites Work

• Unnamed Item
• Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
• Point processes and queues. Martingale dynamics
• Principle of equivalent utility and universal variable life insurance pricing
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• A General Formula for Valuing Defaultable Securities
• Hedging of Credit Derivatives in Models with Totally Unexpected Default
• Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility

This page was built for publication: Correlated intensity, counter party risks, and dependent mortalities