output
20082025
most citedInference for the limiting cluster size distribution of extreme values

57 citations

researchers with a paper here
collaborating institutions
Showing 2011Show all

2 papers · 1 filter

q-fin.PR2011

Credit derivatives pricing with default density term structure modelled by Lévy random fields

Lijun Bo, Ying Jiao, Xuewei Yang

We model the term structure of the forward default intensity and the default density by using Lévy random fields, which allow us to consider the credit derivatives with an after-de…

q-fin.RM2011★ 3 cited

One-year reserve risk including a tail factor: closed formula and bootstrap approaches

Alexandre Boumezoued, Yoboua Angoua, Laurent Devineau +1

In this paper, we detail the main simulation methods used in practice to measure one-year reserve risk, and describe the bootstrap method providing an empirical distribution of the…