Dual-frailty default intensity model: estimations and an application

DOI10.1080/03610918.2019.1581890MaRDI QIDQ5082610zbMATH OpenOpenAlexFDO

Authors Zhifang Su, Ken-Yu Lin, M.-Y. Chen

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1581890

zbMATH Keywords

default clusteringdefault intensity modeldual-frailty modelindustrial frailtytime frailty

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3114766 (Why is no real title available?)
• scientific article; zbMATH DE number 3513115 (Why is no real title available?)
• scientific article; zbMATH DE number 3385132 (Why is no real title available?)
• Common failings: how corporate defaults are correlated
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Cited in

(2)

• Commercial and residential mortgage defaults: spatial dependence with frailty
• Modeling frailty-correlated defaults using many macroeconomic covariates

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