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Filtering in a hazard rate change-point model with financial and life-insurance applications
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework arises naturally in both financial and insurance applications, where the default intensity of a firm or the mortality rate of an individual may experience a sudden jump at an unobservable time, representing, for instance, a shift in the firm's risk profile or a deterioration in an individual's health status. By employing a progressive enlargement of filt…

Filtering in a hazard rate change-point model with financial and life-insurance applications
Matteo Buttarazzi, Claudia Ceci
https://arxiv.org/abs/2505.13185

Filtering in a hazard rate change-point model with financial and life-insurance applications
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework arises naturally in both financial and insurance applications, where the default intensity of a firm or the mortality rate of an individual may experience a sudden jump at an unobservable time, representing, for instance, a shift in the firm's risk profile or a deterioration in an individual's health status. By employing a progressive enlargement of filt…