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~accessRights:"restricted"
~subject:"Kreditrisiko"
~subject:"Markov modulated marked point process"
~subject:"Volatilität"
~type_genre:"Article in journal"
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Kreditrisiko
Markov modulated marked point process
Volatilität
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CAT bonds
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Cauchy problem
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Markov modulated affine models
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Partial integro differential equations
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Frey, Rüdiger
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Colaneri, Katia
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Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
Colaneri, Katia
;
Frey, Rüdiger
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 498-507
Persistent link: https://www.econbiz.de/10012793939
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2
How safe are european safe bonds? : an analysis from the perspective of modern credit risk models
Frey, Rüdiger
;
Kurt, Kevin
;
Damian, Camilla
- In:
Journal of banking & finance
119
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012521283
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