Dynamic CRRA-utility indifference value in generalized Cox process model

Kun Tian, Dewen Xiong () and Zhongxing Ye
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Kun Tian: Department of Applied Mathematics, Shanghai Finance University, Shanghai 200240, P. R. China
Dewen Xiong: Department of Mathematics, Shanghai Jiao Tong University, Shanghai 200240, P. R. China
Zhongxing Ye: Department of Mathematics, Shanghai Jiao Tong University, Shanghai 200240, P. R. China;

Journal of Financial Engineering (JFE), 2014, vol. 01, issue 04, 1-29

Abstract: We give the explicit form of the survival process of the default time ${\tilde \tau}$ modeled by the generalized Cox process model. Then we derive the dynamic CRRA-utility indifference value (UIV) Ct of the ??-investors with respect to the ??-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.

Keywords: Enlargement of filtration; generalized Cox process model; different filtrations; CRRA-utility indifference value of filtrations; BSDE with jumps (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1142/S2345768614500354

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