Applied Mathematics

Vol.3 No.12A(2012), Paper ID 26109, 14 pages

DOI:10.4236/am.2012.312A300

 

Measuring Tail Dependence for Aggregate Collateral Losses Using Bivariate Compound Shot-Noise Cox Process

 

Jiwook Jang, Genyuan Fu

 

Department of Applied Finance & Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, Australia
Benelec Pty Ltd., Sydney, Australia

 

Copyright © 2012 Jiwook Jang, Genyuan Fu et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article

Jang, J. and Fu, G. (2012) Measuring Tail Dependence for Aggregate Collateral Losses Using Bivariate Compound Shot-Noise Cox Process. Applied Mathematics, 3, 2191-2204. doi: 10.4236/am.2012.312A300.
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