In this paper we contribute to the theory of conditional Markov chains (CMCs) that take
finitely many values and that admit intensity. We provide a method for constructing a CMC …

The relatively young theory of structured dependence between stochastic processes has
many real-life applications in areas including finance, insurance, seismology, neuroscience …

In this paper, we consider modeling of credit risk within the Libor market models. We extend
the classical definition of the default‐free forward Libor rate and develop the rating based …

This paper develops a new class of conditional Markov jump processes with regime
switching and paths dependence. The key novel feature of the developed process lies on its …

We present a flexible premium determination method for insurance products, in particular,
for unemployment insurance products. The price is determined with the real-world pricing …

This paper provides a new approach for modeling and calculating premiums for
unemployment insurance products. The innovative modeling concept consists of combining …

In this paper we continue the study of conditional Markov chains (CMCs) with finite state
spaces, that we initiated in Bielecki, Jakubowski and Niew\k {e} g {\l} owski (2014a) in an …

We consider an optimal switching problem with random lag and possibility of component
failure. The random lag is modeled by letting the operation mode follow a regime switching …

In this paper, we achieve two goals. First we give a formula describing prices of defaultable
rating-sensitive claims of general type. Secondly, we solve the problem of replication of an …

In this paper we continue the study of conditional Markov chains (CMCs) with finite state
spaces, that we initiated in Bielecki, Jakubowski and Niew\k {e} g\l owski (2015). Here, we …