Modeling the Dependency Structure of Integrated Intensity Processes.
Where this comes from
- Record sourced from PubMed, PMID 26270638.
- Also identified by DOI 10.1371/journal.pone.0134992 and PMC identifier 4535994.
- Licence recorded as CC BY.
- The licence permits redistribution, so the abstract is shown in full and the full text is available from the publisher.
Abstract
This paper studies an important issue of dependence structure. To model this structure, the intensities within the Cox processes are driven by dependent shot noise processes, where jumps occur simultaneously and their sizes are correlated. The joint survival probability of the integrated intensities is explicitly obtained from the copula with exponential marginal distributions. Subsequently, this result can provide a very useful guide for credit risk management.
Medical subject headings
- Economics
- Models, Theoretical
- Proportional Hazards Models