Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk
Cerqueti, R and Spizzichino, F. (2015). Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk. in: Kitzos, C (ed.) Springer Proceedingsin Mathematics & Statistics Springer.
|Authors||Cerqueti, R and Spizzichino, F.|
We review the basic aspects of the concept of signature for a coherent system. The cases of exchangeability and non-exchangeability are compared in view of possible applications to the analysis of financial risk. The case of a special class of basket option is finally analyzed.
|Book title||Springer Proceedingsin Mathematics & Statistics|
File Access Level
|19 May 2015|
|Publication process dates|
|Accepted||02 Mar 2015|
|Deposited||28 Jul 2020|
|Digital Object Identifier (DOI)||https://doi.org/10.1007/978-3-319-18029-8_27|
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