A remark on "A shortcut way of pricing default risk through zero-utility principle"

Research output: Journal PublicationsJournal Article (refereed)

1 Scopus Citations

Abstract

This remark studies Tibiletti's bargaining condition and shows that, for risk neutral buyers or the default loss are small relative to the buyer's size, there exists a more shortcut bargaining condition.
Original languageEnglish
Pages (from-to)517-519
Number of pages3
JournalJournal of Risk and Insurance
Volume75
Issue number2
DOIs
Publication statusPublished - 1 Jun 2008
Externally publishedYes

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Default risk
Buyers
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Cite this

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title = "A remark on {"}A shortcut way of pricing default risk through zero-utility principle{"}",
abstract = "This remark studies Tibiletti's bargaining condition and shows that, for risk neutral buyers or the default loss are small relative to the buyer's size, there exists a more shortcut bargaining condition.",
author = "Jingyuan LI",
year = "2008",
month = "6",
day = "1",
doi = "10.1111/j.1539-6975.2008.00270.x",
language = "English",
volume = "75",
pages = "517--519",
journal = "Journal of Risk and Insurance",
issn = "0022-4367",
publisher = "Wiley-Blackwell Publishing Ltd",
number = "2",

}

A remark on "A shortcut way of pricing default risk through zero-utility principle". / LI, Jingyuan.

In: Journal of Risk and Insurance, Vol. 75, No. 2, 01.06.2008, p. 517-519.

Research output: Journal PublicationsJournal Article (refereed)

TY - JOUR

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AU - LI, Jingyuan

PY - 2008/6/1

Y1 - 2008/6/1

N2 - This remark studies Tibiletti's bargaining condition and shows that, for risk neutral buyers or the default loss are small relative to the buyer's size, there exists a more shortcut bargaining condition.

AB - This remark studies Tibiletti's bargaining condition and shows that, for risk neutral buyers or the default loss are small relative to the buyer's size, there exists a more shortcut bargaining condition.

UR - http://commons.ln.edu.hk/sw_master/2725

U2 - 10.1111/j.1539-6975.2008.00270.x

DO - 10.1111/j.1539-6975.2008.00270.x

M3 - Journal Article (refereed)

VL - 75

SP - 517

EP - 519

JO - Journal of Risk and Insurance

JF - Journal of Risk and Insurance

SN - 0022-4367

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