Correlated intensity, counter party risks, and dependent mortalities

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

Jin Ma, Youngyun Yun

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

martingale; change of measure; indifference pricing; correlated defaults; dependent mortality; first-to-default time; flight to quality; universal variable life insurance

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

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Cites Work

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