Abstract This paper considers the valuation problem of basket CDSs. Based on the construction of total hazard rates, the paper develops the work of Zheng and Jiang [17] from the homogenous case to the primary-subsidiary heterogenous case in the interacting intensity framework, and obtains the corresponding joint density of the default time. Moreover, the paper derives the valuation formulae for...

This paper is devoted to expressiveness of hypergraphs for which uncertainty propagation by local computations via Shenoy/Shafer method applies. It is demonstrated that for this propagation method for a given joint belief distribution no valuation of hyperedges of a hypergraph may provide with simpler hypergraph structure than valuation of hyperedges by conditional distributions. This has vital...

this study has been conducted for the first time in iran, by contingent valuation method (cvm) and using extended linear expenditure system (eles) to estimate nonrnarket services of gerebygan manmade forest. according to this study the existance value of three principal nonrnarket services including climat regulation, erosion control and habitat/refugia estimated respectively at 32250934930 ria...

This paper presents and applies a methodology for valuing electricity derivatives by constructing replicating portfolios from electricity futures and the risk free asset. Futures based replication is argued to be made necessary by the non-storable nature of electricity, which rules out the traditional spot market, storage-based method of valuing commodity derivatives. Using the futures based ap...

We study the valuation of unit-linked life insurance contracts with surrender guarantees. Instead of solving an optimal stopping problem, we propose a more realistic approach accounting for policyholders’ rationality in exercising their surrender option. The valuation is conducted at the portfolio level by assuming the surrender intensity to be bounded from below and from above. The lower bound...