Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity

Thorsten Schmidt, and Stefan Tappe. "Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity." Banach Center Publications 105.1 (2015): 211-238. <http://eudml.org/doc/282444>.

@article{ThorstenSchmidt2015,
abstract = {This paper considers dynamic term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We study general forward rate curves driven by infinitely many Brownian motions and an integer-valued random measure, generalizing existing approaches in the literature. A precise characterization of absence of arbitrage in such markets is given in terms of a suitable criterion for no asymptotic free lunch (NAFL). From this, we obtain drift conditions which are equivalent to NAFL. In a suitable special case we are able to derive existence results. For applications, models possessing a certain monotonicity are favorable and we study general conditions which guarantee this. The setup is illustrated with some examples.},
author = {Thorsten Schmidt, Stefan Tappe},
journal = {Banach Center Publications},
keywords = {dynamic term structure models; portfolio credit risk; life insurance; Brownian motions; integer-valued random measure},
language = {eng},
number = {1},
pages = {211-238},
title = {Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity},
url = {http://eudml.org/doc/282444},
volume = {105},
year = {2015},
}

TY - JOUR
AU - Thorsten Schmidt
AU - Stefan Tappe
TI - Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity
JO - Banach Center Publications
PY - 2015
VL - 105
IS - 1
SP - 211
EP - 238
AB - This paper considers dynamic term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We study general forward rate curves driven by infinitely many Brownian motions and an integer-valued random measure, generalizing existing approaches in the literature. A precise characterization of absence of arbitrage in such markets is given in terms of a suitable criterion for no asymptotic free lunch (NAFL). From this, we obtain drift conditions which are equivalent to NAFL. In a suitable special case we are able to derive existence results. For applications, models possessing a certain monotonicity are favorable and we study general conditions which guarantee this. The setup is illustrated with some examples.
LA - eng
KW - dynamic term structure models; portfolio credit risk; life insurance; Brownian motions; integer-valued random measure
UR - http://eudml.org/doc/282444
ER -