Joint survival probability via truncated invariant copula

DOI10.1016/J.CHAOS.2016.01.012zbMath1415.91302OpenAlexW2252627102MaRDI QIDQ509311

Yong-Ki Ma, Jeong-Hoon Kim, Chan Yeol Park

Publication date: 9 February 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2016.01.012

zbMATH Keywords

joint survival probabilityintensity modelbasket default swapshot noise processtruncated invariant FGM copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)

Related Items (3)

Correlated log-normal random variables under a multiscale volatility model ⋮ Stochastic volatility effects on correlated log-normal random variables ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Pricing basket default swaps in a tractable shot noise model
• On nonparametric measures of dependence for random variables
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• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Copulas from the Fokker-Planck equation
• Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
• Pricing the credit default swap rate for jump diffusion default intensity processes
• The t Copula and Related Copulas
• Dependence Information in Parameterized Copulas
• Truncation invariant dependence structures

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