Imperial College London

ProfessorDamianoBrigo

Faculty of Natural SciencesDepartment of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Brigo:2016:10.1016/j.spl.2016.03.013,
author = {Brigo, D and Mai, JF and Scherer, M},
doi = {10.1016/j.spl.2016.03.013},
journal = {Statistics & Probability Letters},
pages = {60--66},
title = {Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law},
url = {http://dx.doi.org/10.1016/j.spl.2016.03.013},
volume = {114},
year = {2016}
}

RIS format (EndNote, RefMan)

TY  - JOUR
AB - A new characterization of the Marshall–Olkin distribution is provided: all subvectorsof the associated survival indicators are continuous-time Markov chains.This property is crucial to overcome practical limitations for the modeling of highdimensionaldefault times (rebalancing, iterative simulation, consistent sub-portfolios).
AU - Brigo,D
AU - Mai,JF
AU - Scherer,M
DO - 10.1016/j.spl.2016.03.013
EP - 66
PY - 2016///
SN - 0167-7152
SP - 60
TI - Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
T2 - Statistics & Probability Letters
UR - http://dx.doi.org/10.1016/j.spl.2016.03.013
UR - http://hdl.handle.net/10044/1/30405
VL - 114
ER -