The Markov consistency of Archimedean survival processes

DOI10.1017/jpr.2016.8zbMath1343.60111OpenAlexW2470415718MaRDI QIDQ3188571

A. Pytel, Jacek Jakubowski

Publication date: 11 August 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1466172862

zbMATH Keywords

profitabilityArchimedean survival processgamma random bridgeMarkovian consistency

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80)

Related Items (3)

A Note on Independence Copula for Conditional Markov Chains ⋮ Generalised liouville processes and their properties ⋮ Conditional Markov chains: properties, construction and structured dependence

Cites Work

• Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae
• Lévy random bridges and the modelling of financial information
• Study of dependence for some stochastic processes: symbolic Markov copulae
• An introduction to copulas.
• Archimedean survival processes
• Dynamic hedging of portfolio credit risk in a Markov copula model
• Study of Dependence for Some Stochastic Processes
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Inspection and maintenance policies of devices subject to deterioration

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