Showing 1 - 10 of 74
Shot-noise processes generalize compound Poisson processes in the following way: a jump (the shot) is followed by a decline (noise). This constitutes a useful model for insurance claims in many circumstances; claims due to natural disasters or self-exciting processes exhibit similar features. We...
Persistent link: https://www.econbiz.de/10010338102
Persistent link: https://www.econbiz.de/10012082184
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the entities in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...
Persistent link: https://www.econbiz.de/10010976208
In this paper, we provide a new representation result for dynamic capital allocations and dynamic convex risk measures that are based on backward stochastic differential equations (BSDEs). We derive this representation from a classical differentiability result for BSDEs and the full allocation...
Persistent link: https://www.econbiz.de/10011011278
Persistent link: https://www.econbiz.de/10011763938
Persistent link: https://www.econbiz.de/10011607343
Persistent link: https://www.econbiz.de/10011794955
Persistent link: https://www.econbiz.de/10011794959
Persistent link: https://www.econbiz.de/10011794963
Persistent link: https://www.econbiz.de/10011457296