Comparison results for exchangeable credit risk portfolios
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Publication:931210
DOI10.1016/j.insmatheco.2008.02.005zbMath1141.91499OpenAlexW3125806856MaRDI QIDQ931210
Jean-Paul Laurent, Areski Cousin
Publication date: 25 June 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.02.005
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Related Items (5)
The shifting dependence dynamics between the G7 stock markets ⋮ On finite exchangeable sequences and their dependence ⋮ Exchangeable FGM copulas ⋮ Sum of Bernoulli mixtures: beyond conditional independence ⋮ Pricing CDOs with state-dependent stochastic recovery rates
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