Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk

Roy Cerqueti

doi:10.1007/978-3-319-18029-8_27

Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk

Roy Cerqueti

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

3 Citations (Scopus)

Abstract

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.

Original language	English
Title of host publication	Springer Proceedingsin Mathematics & Statistics
Publisher	Springer
DOIs	https://doi.org/10.1007/978-3-319-18029-8_27
Publication status	Published - 19 May 2015
Externally published	Yes

Access to Document

10.1007/978-3-319-18029-8_27Licence: CC BY 4.0

Cite this

@inbook{ac2ecf69836f4081b2c7739180ec71fa,

title = "Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk",

abstract = "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.",

author = "Roy Cerqueti",

year = "2015",

month = may,

day = "19",

doi = "10.1007/978-3-319-18029-8_27",

language = "English",

booktitle = "Springer Proceedingsin Mathematics & Statistics",

publisher = "Springer",

}

TY - CHAP

T1 - Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk

AU - Cerqueti, Roy

PY - 2015/5/19

Y1 - 2015/5/19

N2 - 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.

AB - 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.

U2 - 10.1007/978-3-319-18029-8_27

DO - 10.1007/978-3-319-18029-8_27

M3 - Chapter

BT - Springer Proceedingsin Mathematics & Statistics

PB - Springer

ER -

Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk

Abstract

Access to Document

Other files and links

Fingerprint

Cite this