Zobrazeno 1 - 2
of 2
pro vyhledávání: '"John John Ketelbuters"'
Publikováno v:
European Journal of Operational Research. 297:1139-1150
We propose a fractional self-exciting model for the risk of corporate default. We study the properties of a time-changed version of an intensity based model. As a time-change, we use the inverse of an α -stable subordinator. Performing such a time-c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e53481497b2a3c7149ffad79d625c0d3
https://doi.org/10.1016/j.ejor.2021.06.045
https://doi.org/10.1016/j.ejor.2021.06.045
Publikováno v:
Journal of Computational and Applied Mathematics, Vol. 403, p. 113848 (2022)
A time-consistent evaluation is a dynamic pricing method according to which a risk that will be almost surely cheaper than another one at a future date should already be cheaper today. Common actuarial pricing approaches are usually not time-consiste
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0217f077d623756ac8adc901fbda5ae7
https://hdl.handle.net/2078.1/252036
https://hdl.handle.net/2078.1/252036
