×

Default risk insurance and incomplete markets. (English) Zbl 0866.90047

Summary: This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk-neutral measures, characteristics of default can be uniquely determined by the prices of contracts involving default-prone securities.

MSC:

91B30 Risk theory, insurance (MSC2010)
91B24 Microeconomic theory (price theory and economic markets)
PDF BibTeX XML Cite
Full Text: DOI

References:

[1] D. Aldous (1978 ): ”Weak Convergence of Stochastic Processes, for Processes Viewed in the Strasbourg Manner,” preprint.
[2] DOI: 10.1016/0167-6687(90)90008-2 · Zbl 0714.62097
[3] Bremaud P., Point Processes and Queues, Martingale Dynamics. (1981) · Zbl 0478.60004
[4] DOI: 10.1007/BF01450498 · Zbl 0865.90014
[5] Dellacherie C., Probabilities (1978) · Zbl 0494.60001
[6] Probabilites et Potentiel, edition entierement refondue
[7] Duffie D., Dynamic Asset Pricing Theory. (1992) · Zbl 1140.91041
[8] DOI: 10.1016/0304-4149(81)90026-0 · Zbl 0482.60097
[9] Karr A., Point Processes and their Statistical Inference, 2. ed. (1991) · Zbl 0733.62088
[10] Madan D., Pricing the Risks of Default (1993) · Zbl 1274.91426
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.