Implied fractional hazard rates and default risk distributions

DOI10.1186/s41546-017-0015-6zbMath1435.62374OpenAlexW2587755905WikidataQ59603494 ScholiaQ59603494MaRDI QIDQ2296090

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

zbMATH Keywords

probability density functionhazard ratefractional operatordefault 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)

Related Items (3)

Fractional randomness and the Brownian bridge ⋮ Randomness and fractional stable distributions ⋮ Fractional extreme distributions

Cites Work

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• Sharpening of the Upper Bound of the Absolute Constant in the Berry–Esseen Inequality
• Fractional Brownian Motions, Fractional Noises and Applications

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