Browsing Faculty of Natural and Agricultural Sciences by Subject "Hazard rate"

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    • Nonparametric estimation of the cross ratio function 

      Abrams, Steven; Swanepoel, Jan; Veraverbeke, Noël; Janssen, Paul (Springer, 2020)
      The cross ratio function (CRF) is a commonly used tool to describe local dependence between two correlated variables. Being a ratio of conditional hazards, the CRF can be rewritten in terms of (first and second derivatives ...

    • Valuation of basket credit default swaps under stochastic default intensity models 

      Umeorah, Nneka; Mashele, Phillip; Ehrhardt, Matthias (Global Science Press, 2020)
      Portfolio credit derivatives, including the basket credit default swaps, are designed to facilitate the transfer of credit risk amongst market participants. Investors consider them as cheap tools to hedge a portfolio of ...