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Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law

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Title: Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
Authors: Brigo, D
Mai, JF
Scherer, M
Item Type: Journal Article
Issue Date: 25-Mar-2016
Date of Acceptance: 10-Mar-2016
URI: http://hdl.handle.net/10044/1/30405
DOI: https://dx.doi.org/10.1016/j.spl.2016.03.013
ISSN: 0167-7152
Publisher: Elsevier
Start Page: 60
End Page: 66
Journal / Book Title: Statistics & Probability Letters
Volume: 114
Copyright Statement: © 2016, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Keywords: Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Stepwise default simulation
Default-risk modeling
Default dependence
Portfolio credit risk
Marshall-Olkin distribution
Nested margining property
PHASE-TYPE DISTRIBUTIONS
EXPONENTIAL-DISTRIBUTION
MULTIVARIATE
RISK
0102 Applied Mathematics
0104 Statistics
1403 Econometrics
Publication Status: Published
Appears in Collections:Financial Mathematics
Mathematics
Faculty of Natural Sciences