A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling (Q5086640)
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scientific article; zbMATH DE number 7553839
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| English | A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling |
scientific article; zbMATH DE number 7553839 |
Statements
A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling (English)
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6 July 2022
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continuous time Markov chain
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regime-switching
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jump-diffusion process
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copula
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credit risk
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insurance
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0.8914618
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0.87567407
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0.8697768
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0.86625075
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0.8659593
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0.8640003
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0.86101824
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0.8601929
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