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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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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2015
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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 |
collection | PubMed |
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. |
format | Online Article Text |
id | pubmed-4535994 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2015 |
publisher | Public Library of Science |
record_format | MEDLINE/PubMed |
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 |
work_keys_str_mv | AT mayongki modelingthedependencystructureofintegratedintensityprocesses |