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Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
| File | Description | Size | Format | |
|---|---|---|---|---|
 BrigoMaiScherer_2015SPL_revision_March2016.pdf | Accepted version | 341.39 kB | Adobe PDF | View/Open |
| 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 |