Kokholm, Thomas; Nicolato, Elisa - Ehrvervøkonomisk Institut, Institut for Økonomi - 2009
probabilities are then given by the Laplace transform of the cumulative hazard defined as the integrated intensity process. Instead …, recent literature has shown a tendency towards specifying the cumulative hazard process directly. Within this framework we … process. While the processes in these two classes share the same average behavior over time, the associated intensities …