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Default Risk Insurance And Incomplete Markets


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  • Philippe Artzner
  • Freddy Delbaen


This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk-neutral measures, characteristics of default can be uniquely determined by the prices of contracts involving default-prone securities. Copyright 1995 Blackwell Publishers.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Mathematical Finance.

Volume (Year): 5 (1995)
Issue (Month): 3 ()
Pages: 187-195

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Handle: RePEc:bla:mathfi:v:5:y:1995:i:3:p:187-195

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Cited by:
  1. Biffis, Enrico, 2005. "Affine processes for dynamic mortality and actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 443-468, December.
  2. Schönbucher, Philipp J., 1996. "The Term Structure of Defaultable Bond Prices," Discussion Paper Serie B 384, University of Bonn, Germany.
  3. Jorge Bravo, 2011. "Pricing Longevity Bonds Using Affine-Jump Diffusion Models," CEFAGE-UE Working Papers 2011_29, University of Evora, CEFAGE-UE (Portugal).
  4. Giesecke, Kay, 2006. "Default and information," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2281-2303, November.
  5. Chen, Bingzheng & Zhang, Lihong & Zhao, Lin, 2010. "On the robustness of longevity risk pricing," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 358-373, December.
  6. Esteghamat, Kian, 2003. "A boundary crossing model of counterparty risk," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1771-1799, August.
  7. Weißbach, Rafael, 2004. "A rule of thumb for the economic capital of a large credit portfolio," Technical Reports 2004,58, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  8. Nystrom, Kaj & Skoglund, Jimmy, 2006. "A credit risk model for large dimensional portfolios with application to economic capital," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2163-2197, August.
  9. Campi, Luciano & Cetin, Umut, 2007. "Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling," Economics Papers from University Paris Dauphine 123456789/4436, Paris Dauphine University.
  10. Mari, Carlo & Reno, Roberto, 2005. "Credit risk analysis of mortgage loans: An application to the Italian market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 83-93, May.
  11. Tsuji, Chikashi, 2005. "The credit-spread puzzle," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1073-1089, November.
  12. Roger WALDER, 2002. "Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures," FAME Research Paper Series rp56, International Center for Financial Asset Management and Engineering.
  13. Regis Houssou & Olivier Besson, 2010. "Indifference of Defaultable Bonds with Stochastic Intensity models," Papers 1003.4118,
  14. Giesecke, Kay, 2001. "Default compensator, incomplete information, and the term structure of credit spreads," SFB 373 Discussion Papers 2002,8, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  15. Cho-Jieh Chen & Harry Panjer, 2009. "A bridge from ruin theory to credit risk," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 373-403, May.
  16. Jorge Bravo, 2011. "Modelling Mortality Using Multiple Stochastic Latent Factors," CEFAGE-UE Working Papers 2011_26, University of Evora, CEFAGE-UE (Portugal).
  17. Luciano Campi & Umut Çetin, 2007. "Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling," Finance and Stochastics, Springer, vol. 11(4), pages 591-602, October.
  18. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
  19. Dilip Madan & Haluk Unal, 1996. "Pricing the Risks of Default," Center for Financial Institutions Working Papers 94-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
  20. Chen, Cho-Jieh & Panjer, Harry, 2003. "Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 357-380, October.
  21. Björk, Tomas & Näslund, Bertil, 1996. "Diversified Portfolios in Continuous Time," Working Paper Series in Economics and Finance 122, Stockholm School of Economics.


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