Recovery process model for two companies
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Publication:1044237
DOI10.1007/s10690-009-9097-1zbMath1177.91137OpenAlexW2028418896MaRDI QIDQ1044237
Publication date: 11 December 2009
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-009-9097-1
Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Credit risk (91G40)
Cites Work
- Parameter estimation of a bivariate compound Poisson process
- Recovery process model
- Non-life insurance mathematics. An introduction with stochastic processes.
- Compound model for two dependent kinds of claim
- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- Statistical Tools for Finance and Insurance
- Multivariate Counting Processes: Copulas and Beyond
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