This research proposes a dynamic control modeling of income allocation between life insurance purchase and consumption subject to market incompleteness. We adopt a no-good-deal specification of the multiplicity of stochastic discount factors, and treat death as a stopping time on the...

With the intersection of market and credit risk, the first contribution is to derive the analytic formulas of the Credit Linked Notes (CLNs) and the leveraged total return CLNs issued by an Special Purpose Vehicle (SPV) or the protection buyer. The second contribution is to prove that the values...