Dynamic CRRA-utility indifference value in generalized Cox process model

Abstract

We give the explicit form of the survival process of the default time [Formula: see text] modeled by the generalized Cox process model. Then we derive the dynamic CRRA-utility indifference value (UIV) Ct of the 𝔽-investors with respect to the 𝔾-investors and describe the dynamics of Ct by two BSDEs. Finally, we give an example in which we can give the explicit expression of Ct. For the generalized Cox process model we typically have that Ct ≥ 1 in contrast to the standard Cox process model.