Cousin, Areski; Laurent, Jean-Paul - In: Insurance: Mathematics and Economics 42 (2008) 3, pp. 1118-1127
This paper is dedicated to risk analysis of credit portfolios. Assuming that default indicators form an exchangeable sequence of Bernoulli random variables and as a consequence of de Finetti's theorem, default indicators are Binomial mixtures. We can characterize the supermodular order between...