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This paper considers general term structure models like the ones appearing inportfolio credit risk modelling or life insurance. We give a general modelstarting from families of forward rates driven by infinitely many Brownianmotions and an integer-valued random measure, generalizing existing approachesin the literature. Then we derive drift conditions which are equivalent to noasymptotic free lunch on the considered market. Existence results are alsogiven. In practice, models possessing a certain monotonicity are favorable andwe study general conditions which guarantee this. The setup is illustrated withsome examples.

Dynamic Term Structure Modelling with Default and Mortality Risk: New Results on Existence and Monotonicity