We present a flexible premium determination method for insurance products, in particular, for unemployment insurance products. The price is determined with the real-world pricing formula and under the assumption that the employment–unemployment progress of an insured person follows an F-doubly...

This paper proposes a simple scheme for static hedging of defaultable contingent claims. It generalizes the techniques developed by Carr and Chou (1997), Carr and Madan (1998), and Takahashi and Yamazaki (2009a) to credit-equity models. Our scheme provides a hedging strategy across credit and...

The pricing of collateralized debt obligations (CDOs) and other basket credit derivatives is contingent upon (i) a realistic modelling of the firms' default times and the correlation between them, and (ii) efficient computational methods for computing the portfolio loss distribution from the...

We introduce the intensity-based defaultable Lévy Libor model, which generalizes the default-free Lévy Libor model introduced by Eberlein and Özkan in [The defaultable Lévy term structure: Ratings and restructuring, Mathematical Finance 13(2) (2003) 277–300], and the intensity-based...