Correlated intensity, counter party risks, and dependent mortalities
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Cited by:
- Li, Jinzhu, 2022. "Asymptotic results on marginal expected shortfalls for dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 146-168.
- Yinghui Dong & Kam C. Yuen & Guojing Wang & Chongfeng Wu, 2016. "A Reduced-Form Model for Correlated Defaults with Regime-Switching Shot Noise Intensities," Methodology and Computing in Applied Probability, Springer, vol. 18(2), pages 459-486, June.
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Keywords
Correlated defaults Change of measure Martingale First-to-default time Flight to quality Dependent mortality Universal variable life insurance Indifference pricing;Statistics
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