Recovery process model for two companies
From MaRDI portal
Publication:1044237
DOI10.1007/s10690-009-9097-1zbMath1177.91137MaRDI 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
91G60: Numerical methods (including Monte Carlo methods)
91B70: Stochastic models in economics
91G40: Credit risk
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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