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Modeling the Dependency Structure of Integrated Intensity Processes

This paper studies an important issue of dependence structure. To model this structure, the intensities within the Cox processes are driven by dependent shot noise processes, where jumps occur simultaneously and their sizes are correlated. The joint survival probability of the integrated intensities...

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Detalles Bibliográficos
Autor principal: Ma, Yong-Ki
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2015
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4535994/
https://www.ncbi.nlm.nih.gov/pubmed/26270638
http://dx.doi.org/10.1371/journal.pone.0134992
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author Ma, Yong-Ki
author_facet Ma, Yong-Ki
author_sort Ma, Yong-Ki
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description This paper studies an important issue of dependence structure. To model this structure, the intensities within the Cox processes are driven by dependent shot noise processes, where jumps occur simultaneously and their sizes are correlated. The joint survival probability of the integrated intensities is explicitly obtained from the copula with exponential marginal distributions. Subsequently, this result can provide a very useful guide for credit risk management.
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spelling pubmed-45359942015-08-20 Modeling the Dependency Structure of Integrated Intensity Processes Ma, Yong-Ki PLoS One Research Article This paper studies an important issue of dependence structure. To model this structure, the intensities within the Cox processes are driven by dependent shot noise processes, where jumps occur simultaneously and their sizes are correlated. The joint survival probability of the integrated intensities is explicitly obtained from the copula with exponential marginal distributions. Subsequently, this result can provide a very useful guide for credit risk management. Public Library of Science 2015-08-13 /pmc/articles/PMC4535994/ /pubmed/26270638 http://dx.doi.org/10.1371/journal.pone.0134992 Text en © 2015 Yong-Ki Ma http://creativecommons.org/licenses/by/4.0/ This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are properly credited.
spellingShingle Research Article
Ma, Yong-Ki
Modeling the Dependency Structure of Integrated Intensity Processes
title Modeling the Dependency Structure of Integrated Intensity Processes
title_full Modeling the Dependency Structure of Integrated Intensity Processes
title_fullStr Modeling the Dependency Structure of Integrated Intensity Processes
title_full_unstemmed Modeling the Dependency Structure of Integrated Intensity Processes
title_short Modeling the Dependency Structure of Integrated Intensity Processes
title_sort modeling the dependency structure of integrated intensity processes
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4535994/
https://www.ncbi.nlm.nih.gov/pubmed/26270638
http://dx.doi.org/10.1371/journal.pone.0134992
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