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Date: 2013
Subject Keyword: 149900 Other Economics
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/310410
Description: In this article we discuss an intensity-based model for portfolio credit risk using a collection of hidden Markov-modulated single jump processes. The model can be viewed as a "dynamic" version of a f ... More
Date: 2012
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/215368
Description: We develop a new approach to ruin theory for a multi-line insurance business when the risk processes for correlated insurance policies are described by a multivariate diffusion process. A relation bet ... More
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