具有违约和死亡风险的动态期限结构模型：存在性和单调性的新结果
Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity
摘要：
本文考虑了一般的期限结构模型，如投资组合信用风险模型或人寿保险模型。我们给出了一个一般模型，从家庭的远期利率驱动的无穷多个布朗运动和一个整数值随机措施，推广现有的方法在文献中。然后，我们推导出漂移条件，这相当于没有渐近免费午餐所考虑的市场。并给出了存在性结果。在实践中，具有一定的单调性的模型是有利的，我们研究的一般条件，保证这一点。该设置与一些例子说明。
英文摘要：
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and an integer-valued random measure, generalizing existing approaches in the literature. Then we derive drift conditions which are equivalent to no asymptotic free lunch on the considered market. Existence results are also given. In practice, models possessing a certain monotonicity are favorable and we study general conditions which guarantee this. The setup is illustrated with some examples.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
