In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form credit risk and life insurance. particular, assume nontrivial dependence structure between reference filtration internal filtration. We apply these results pricing hedging non-life liabilities hybrid financial markets, while taking into account role of ...

Reduced-form models have proven to be a useful tool for analyzing the dynamics of credit spreads. However, some have recently questioned their ability to match the level of empirical default correlation. The key concern appears to be the assumption that defaults are independent conditional on the state variables driving the default intensity. In this paper, I use a “thought experiment” as well ...

The purpose of this paper is to present in a unified context the reduced form modelling approach, in which a credit event is modelled as a totally inaccessible stopping time. Once the general framework is introduced (frequently referred to as “pure intensity” set-up), we focus on the special case where the full information at the disposal of the traders may be split in two sub-filtrations, one ...