Implied fractional hazard rates and default risk distributions

DOI10.1186/S41546-017-0015-6MaRDI QIDQ2296090zbMATH OpenOpenAlexWikidataFDO

Authors Charles S. Tapiero, Pierre Vallois

Publication date 17 February 2020

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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Cites work

• scientific article; zbMATH DE number 439383 (Why is no real title available?)
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• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional Poisson process
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Fractional randomness
• Long memory processes and fractional integration in econometrics
• On Mittag-Leffler functions and related distributions
• On the Upper Bound for the Absolute Constant in the Berry–Esseen Inequality
• Sharpening of the Upper Bound of the Absolute Constant in the Berry–Esseen Inequality
• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics

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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