An explicit model of default time with given survival probability

For a given filtered probability space (Ω,F,P), an F-adapted continuous increasing process Λ and a positive P-F local martingale N such that Λ₀=0 and N_te^−Λ_t≤1, we construct a probability measure Q^Z and a random time τ such that Q|_F∞=P|_F∞ and Q[τ>t|F_t]=Z_t. The probability Q^Z is linked with the well-known Cox model by an explicit density function. Various properties exist, which characterize Q^Z from others. Let G=(G_t)_t≥0 with G_t=F_t∨σ({τ≤s}:s≤t). We establish the (H^′)-property between the filtrations F and G, and we provide the enlargement of filtration formula.