- Date: 8 Oct. (Thu.)
- Place: On the Web
- Time: 16:30 - 18:00
- Speaker: Haiha Pham (Ho-chi-minh International University)
- Title: Distribution and asymptotic results for Japanese double -debt risk model
- Abstract:
Inspired by double debt problem in Japan where the morgagor has to pay the remain loan even their morgage was destroyed by castastrophic disaster, we model morgarate loan to estimate risk of the lender by a renewal – reward process. We analyse the asymptotic behavior distribution of first hitting time which represents the probability of full repayment. We show that finite -time probability of full repayment converges exponentially fast to the infinite – time one. In a few concrete scenarios, we calculate the exact form of the infinite-time probability and the corresponding premiums.
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