Semenikhine, Vadim; Furman, Edward; Su, Jianxi - In: Risks : open access journal 6 (2018) 3, pp. 1-20
using the closure under convolutions property. This direction yields an additive background risk model, and it has been very … multiplicative background risk model (MBRM), has been by far less investigated. In this paper, we reintroduce the multiplicative … study the links to the MBRM, employ the machinery of divided differences to derive the distribution of the aggregate risk …