Implied fractional hazard rates and default risk distributions

DOI10.1186/S41546-017-0015-6zbMATH Open1435.62374OpenAlexW2587755905WikidataQ59603494 ScholiaQ59603494MaRDI QIDQ2296090FDOQ2296090

Authors: Charles S. Tapiero, Pierre Vallois 

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s41546-017-0015-6

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zbMATH Keywords

probability density functionfractional operatorhazard ratedefault probabilitydefault bond

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional derivatives and integrals (26A33)

Cites Work

• Fractional Brownian Motions, Fractional Noises and Applications
• Long memory processes and fractional integration in econometrics
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Fractional Poisson process
• Applications of fractional calculus in physics
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• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
• On Mittag-Leffler functions and related distributions
• An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums
• Title not available (Why is that?)
• Sharpening of the Upper Bound of the Absolute Constant in the Berry–Esseen Inequality
• On the Upper Bound for the Absolute Constant in the Berry–Esseen Inequality
• Fractional randomness

Cited In (4)

• CDS pricing with fractional Hawkes processes
• Fractional extreme distributions
• Fractional randomness and the Brownian bridge
• Randomness and fractional stable distributions

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