Artikel
Time-dynamic evaluations under non-monotone information generated by marked point processes
The information dynamics in finance and insurance applications is usually modelled by a filtration. This paper looks at situations where information restrictions apply so that the information dynamics may become non-monotone. A fundamental tool for calculating and managing risks in finance and insurance are martingale representations. We present a general theory that extends classical martingale representations to non-monotone information generated by marked point processes. The central idea is to focus only on those properties that martingales and compensators show on infinitesimally short intervals. While classical martingale representations describe innovations only, our representations have an additional symmetric counterpart that quantifies the effect of information loss. We exemplify the results with examples from life insurance and credit risk.
- Sprache
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Englisch
- Erschienen in
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Journal: Finance and Stochastics ; ISSN: 1432-1122 ; Volume: 25 ; Year: 2021 ; Issue: 3 ; Pages: 563-596 ; Berlin, Heidelberg: Springer
- Klassifikation
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Wirtschaft
Behavioral Finance: General‡
Mathematical Methods
Asset Pricing; Trading Volume; Bond Interest Rates
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
- Thema
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Credit risk modelling
Life insurance modelling
Information restrictions
Optional projections
Infinitesimal martingale representations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Christiansen, Marcus C.
- Ereignis
-
Veröffentlichung
- (wer)
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Springer
- (wo)
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Berlin, Heidelberg
- (wann)
-
2021
- DOI
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doi:10.1007/s00780-021-00456-5
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Christiansen, Marcus C.
- Springer
Entstanden
- 2021
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