Exogenous shock models: analytical characterization and probabilistic construction
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00184-019-00715-8.pdf
Reference26 articles.
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3. Durante F, Quesada-Molina JJ, Úbeda Flores M (2007) On a family of multivariate copulas for aggregation processes. Inf Sci 177(24):5715–5724. https://doi.org/10.1016/j.ins.2007.07.019
4. Durante F, Kolesárová A, Mesiar R, Sempi C (2008) Semilinear copulas. Fuzzy Sets Syst 159(1):63–76. https://doi.org/10.1016/j.fss.2007.09.001
5. Elouerkhaoui Y (2007) Pricing and hedging in a dynamic credit model. Int J Theor Appl Finance 10(04):703–731. https://doi.org/10.1142/S0219024907004408
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