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  • Search: subject:"intensity-based approach"
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Subject
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Unemployment insurance 2 actuarial martingale pricing 2 benchmark approach 2 doubly stochastic Markov chain 2 intensity based approach 2 Actuarial mathematics 1 Arbeitslosenversicherung 1 Estimation 1 Markov chain 1 Markov-Kette 1 Martingal 1 Martingale 1 Probability theory 1 RMBS 1 Schätzung 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Versicherungsmathematik 1 Wahrscheinlichkeitsrechnung 1 competing risks 1 default risk 1 intensity-based approach 1 mortgage valuation 1 prepayment risk 1
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Article 3
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Article in journal 1 Aufsatz in Zeitschrift 1
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Undetermined 2 English 1
Author
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BIAGINI, FRANCESCA 1 Biagini, Francesca 1 Sugimura, Toru 1 WIDENMANN, JAN 1 Widenmann, Jan 1
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Asia-Pacific Financial Markets 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS
BIAGINI, FRANCESCA; WIDENMANN, JAN - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250025-1
This paper provides a new approach for modeling and calculating premiums for unemployment insurance products. The innovative modeling concept consists of combining the benchmark approach with its real-world pricing formula and Markov chain techniques in a doubly stochastic setting. We describe...
Persistent link: https://www.econbiz.de/10010552939
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Pricing of unemployment insurance products with doubly stochastic Markov chains
Biagini, Francesca; Widenmann, Jan - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10009624472
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Valuation of Residential Mortgage-Backed Securities with Default Risk Using an Intensity-Based Approach
Sugimura, Toru - In: Asia-Pacific Financial Markets 11 (2004) 2, pp. 185-214
-backed securities (RMBS's) using an intensity-based approach. This model incorporates full prepayment, partial prepayment, and default …
Persistent link: https://www.econbiz.de/10005727059
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