Optimal Insurance with Counterparty Default Risk
نویسندگان
چکیده
منابع مشابه
Optimal investment with counterparty risk: a default-density model approach
We consider a financial market with a stock exposed to a counterparty risk inducing a drop in the price, and which can still be traded after this default time. We use a default-density modeling approach, and address in this incomplete market context the expected utility maximization from terminal wealth. We show how this problem can be suitably decomposed in two optimization problems in complet...
متن کاملOptimal investment with counterparty risk: a default-density modeling approach
We consider a financial market with a stock exposed to a counterparty risk inducing a drop in the price, and which can still be traded after this default time. We use a default-density modeling approach, and address in this incomplete market context the expected utility maximization from terminal wealth. We show how this problem can be suitably decomposed in two optimization problems in complet...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.1634883