activity
20102023
most citedPrecautionary Measures for Credit Risk Management in Jump Models

44 citations · 231 across the 45 of their papers we have counts for

collaborators
Showing 2021Show all

1 paper · 1 filter

stat.ME2021

A series expansion formula of the scale matrix with applications in change-point detection

Jevgenijs Ivanovs, Kazutoshi Yamazaki

We introduce a new Levy fluctuation theoretic method to analyze the cumulative sum (CUSUM) procedure in sequential change-point detection. When observations are phase-type distribu…