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Recovery Process Model for Two Companies

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  • Yuki Itoh

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  • Yuki Itoh, 2009. "Recovery Process Model for Two Companies," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 287-331, December.
    • Handle: RePEc:kap:apfinm:v:16:y:2009:i:4:p:287-331
    DOI: 10.1007/s10690-009-9097-1
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    References listed on IDEAS

    as
    1. Partrat, Christian, 1994. "Compound model for two dependent kinds of claim," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 219-231, December.
    2. Itoh, Yuki & 伊藤, 有希, 2008. "Recovery Process Model," Discussion Papers 2008-08, Graduate School of Economics, Hitotsubashi University.
    3. Yuki Itoh, 2008. "Recovery Process Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 307-347, December.
    4. Lindskog, Filip & McNeil, Alexander J., 2003. "Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling," ASTIN Bulletin, Cambridge University Press, vol. 33(2), pages 209-238, November.
    5. Vernic, Raluca, 1999. "Recursive Evaluation of Some Bivariate Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 29(2), pages 315-325, November.
    6. Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 22-26, June.
    7. Dermine, J. & de Carvalho, C. Neto, 2006. "Bank loan losses-given-default: A case study," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1219-1243, April.
    8. Sundt, Bjørn, 2000. "On Multivariate Vernic Recursions," ASTIN Bulletin, Cambridge University Press, vol. 30(1), pages 111-122, May.
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