Snorre Lindset

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In this paper we present a model for pricing credit risk protection for a limited liability non-life insurance company. The protection is typically provided by a guaranty fund. In the case of continuous monitoring, i.e., where the market values of the company’s assets and liabilities are continuously observable, and where the market values of assets and(More)
Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multiperiod guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations(More)
A company’s credit spreads and default policy are analyzed in a structural model of credit risk. Agents have incomplete information about the company’s EBIT (Earnings Before Interest and Taxes) process and observe it with time delays. When all agents observe the state variable with the same delay, the delay has a minor effect on credit spreads and default(More)
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