Workgroup Financial Mathematics

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Seminar Hazard Processes

Prof. Dr. F. Biagini

Time and venue

  • Tue 8-10, HS B 252, Theresienstraße 39
  • First meeting: 12.4.16
  • Seminar am Di 17.5 fällt aus (Vorlesungsfreier Tag an der LMU)

Further Information

Motivated by applications in credit risk and in insurance modeling, in
this seminar we study the martingale theory of hazard processes. An hazard
process is given by the (conditional) survival probability of a stopping time,
which may represent the instant of default of a firm or the time of decease
of an insured person. We first start by characterizing the hazard function of
a random time and then analyze its hazard process, when an additional flow
of information is available. These results require an extensive mathematical
analysis and play a fundamental role in the modelization of life insurance
markets as well as of defaultable markets.


[1] T. R. Bielecki, M. Rutkowski: Credit Risk: Modeling, Valuation and Hedging,
Springer, 2002.

Sectioning of talks

Required Knowledge

Basic probability theory, conditional expectations,