Random distribution kernels and three types of defaultable contingent payoffs

Jinchun Ye

Insurance: Mathematics and Economics, 2019, vol. 85, issue C, 198-204

Abstract: We introduce the random distribution kernel on a product probability space and obtain the representation results connecting the product and base probability spaces. Using the random variable with the random distribution kernel to model default/death time, we then consider three types of defaultable contingent payoffs. By allowing the survival conditioning time to be anytime before the start time of the payoffs, between the start time and end time, or after the end time of the payoffs, we provide the complete treatment of three types of defaultable contingent payoffs. As the application of the general results developed in this paper, we also provide the more general results for three types of defaultable contingent payoffs than the ones in the literature under the stochastic intensity framework.

Keywords: Random distribution kernel; Representation theorem; Stochastic intensity; Credit/mortality risk; Three types of defaultable contingent payoffs (search for similar items in EconPapers)
JEL-codes: C46 C65 G13 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:85:y:2019:i:c:p:198-204

DOI: 10.1016/j.insmatheco.2019.01.004

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