Hazard processes and martingale hazard processes
| dc.creator | Coculescu, Delia | |
| dc.creator | Nikeghbali, Ashkan | |
| dc.date | 2008-07-30 | |
| dc.date.accessioned | 2026-07-07T12:05:56Z | |
| dc.date.available | 2026-07-07T12:05:56Z | |
| dc.description | In this paper, we provide a solution to two problems which have been open in default time modeling in credit risk. We first show that if $τ$ is an arbitrary random (default) time such that its Azéma's supermartingale $Z_t^τ=¶(τ>t|\F_t)$ is continuous, then $τ$ avoids stopping times. We then disprove a conjecture about the equality between the hazard process and the martingale hazard process, which first appeared in \cite{jenbrutk1}, and we show how it should be modified to become a theorem. The pseudo-stopping times, introduced in \cite{AshkanYor}, appear as the most general class of random times for which these two processes are equal. We also show that these two processes always differ when $τ$ is an honest time. | |
| dc.identifier | https://arxiv.org/abs/0807.4958 | |
| dc.identifier | http://arxiv.org/abs/0807.4958 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208516 | |
| dc.subject | Risk Management | |
| dc.subject | Probability | |
| dc.subject | 60G07, 60G44, 60G99 | |
| dc.title | Hazard processes and martingale hazard processes | |
| dc.type | text |