Pages that link to "Item:Q4661681"
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The following pages link to Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (Q4661681):
Displayed 50 items.
- Modeling, simulation and inference for multivariate time series of counts using trawl processes (Q129557) (← links)
- Exchangeable exogenous shock models (Q265306) (← links)
- Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law (Q277273) (← links)
- A reduced-form model for correlated defaults with regime-switching shot noise intensities (Q292361) (← links)
- On a multi-dimensional risk model with regime switching (Q320264) (← links)
- Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance (Q340114) (← links)
- \(H\)-extendible copulas (Q443789) (← links)
- Bilateral counterparty risk valuation on a CDS with a common shock model (Q479176) (← links)
- Bivariate lower and upper orthant value-at-risk (Q487568) (← links)
- Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks (Q517945) (← links)
- The cost of operational risk loss insurance (Q541592) (← links)
- Recovery process model (Q842837) (← links)
- Comparison results for exchangeable credit risk portfolios (Q931210) (← links)
- Recovery process model for two companies (Q1044237) (← links)
- Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching (Q1644065) (← links)
- A new bivariate Poisson common shock model covering all possible degrees of dependence (Q1644209) (← links)
- Limit theorems for local cumulative shock models with cluster shock structure (Q1666682) (← links)
- On finite exchangeable sequences and their dependence (Q1679565) (← links)
- Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities (Q1690473) (← links)
- Shock models with recovery option via the maxmin copulas (Q1699338) (← links)
- A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes (Q1787114) (← links)
- Shot-noise driven multivariate default models (Q1936462) (← links)
- Moment-based estimation of extendible Marshall-Olkin copulas (Q1936667) (← links)
- Non-exchangeability of copulas arising from shock models (Q2000611) (← links)
- Pricing industry loss warranties in a Lévy-Frailty framework (Q2010906) (← links)
- Limit distributions of the upper order statistics for the Lévy-frailty Marshall-Olkin distribution (Q2027091) (← links)
- On the modelling of multivariate counts with Cox processes and dependent shot noise intensities (Q2038217) (← links)
- On the evaluation of risk models with bivariate integer-valued time series (Q2058429) (← links)
- The infinite extendibility problem for exchangeable real-valued random vectors (Q2208476) (← links)
- Asymmetric linkages: maxmin vs. reflected maxmin copulas (Q2219341) (← links)
- Dynamic hedging of portfolio credit risk in a Markov copula model (Q2247917) (← links)
- A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks (Q2252881) (← links)
- Optimal control and dependence modeling of insurance portfolios with Lévy dynamics (Q2276249) (← links)
- Livestock mortality catastrophe insurance using fatal shock process (Q2292180) (← links)
- Constructing copulas from shock models with imprecise distributions (Q2302951) (← links)
- Exogenous shock models: analytical characterization and probabilistic construction (Q2338099) (← links)
- Coupling Poisson processes by self-decomposability (Q2363006) (← links)
- Multiple risk factor dependence structures: distributional properties (Q2404540) (← links)
- TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (Q2427830) (← links)
- Multivariate insurance models: an overview (Q2444726) (← links)
- On a reduced form credit risk model with common shock and regime switching (Q2447411) (← links)
- Estimation of the parameters of a Markov-modulated loss process in insurance (Q2513596) (← links)
- Extreme generators of shock induced copulas (Q2671860) (← links)
- A Marshall-Olkin type multivariate model with underlying dependent shocks (Q2684922) (← links)
- Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions (Q2685515) (← links)
- Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model (Q2864673) (← links)
- A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk (Q2875524) (← links)
- Lévy Copulas: Review of Recent Results (Q2956050) (← links)
- Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps (Q3014981) (← links)
- Implementing loss distribution approach for operational risk (Q3103153) (← links)