Correlated intensity, counter party risks, and dependent mortalities-Reference-Cited by-同舟云学术

Correlated intensity, counter party risks, and dependent mortalities

Published:2010-12 Issue:3 Volume:47 Page:337-351
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Ma Jin,Yun Youngyun

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference22 articles.

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2. Actuarial Mathematics;Bowers,1997

3. Point Processes and Queues: Martingale Dynamics;Bremaud,1981

4. Collin-Dufresne, P., Goldstein, R., Helwege, J., 2003. Is credit event risk priced? Modeling Contagion via the Updating of Beliefs. Working Paper. Carnegie-Mellon University, Washington University, and Ohio State University.

5. A general formula for valuing defaultable securities;Collin-Dufresne;Econometrica,2004

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