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ECONIS (ZBW)
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1
Approximation of ruin probability and ruin time in discrete Brownian risk models
Jasnovidov, Grigori
- In:
Scandinavian actuarial journal
2020
(
2020
)
8
,
pp. 718-735
Persistent link: https://www.econbiz.de/10012313725
Saved in:
2
Default probability estimation via pair copula constructions
Dalla Valle, Luciana
;
De Giuli, Maria Elena
;
Tarantola, …
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
Saved in:
3
The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang
;
Zhao, Dianli
- In:
Journal of mathematical finance
5
(
2015
)
3
,
pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
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4
An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping
;
Krehbiel, Timothy L.
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
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5
A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes
Mukupa, George M.
;
Offen, Elias R.
;
Kunda, Douglas
; …
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 232-246
Persistent link: https://www.econbiz.de/10011543918
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6
Explicit form of approximate transition probability density functions of diffusion processes
Choi, Seungmoon
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 57-73
Persistent link: https://www.econbiz.de/10011498739
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7
On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.
;
Chatterjee, Rupak
;
Tydniouk, Igor
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
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8
A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe
;
Pesci, Nicolas
;
James, Victor
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
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9
Estimating actual probability of default from structural models
Zou, Lin
;
Li, Weiping
- In:
International journal of financial engineering
9
(
2022
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10013188686
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10
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen
;
Kutrolli, Gleda
;
Stefani, Silvana
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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