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Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names. (English) Zbl 1291.91243

91G70 Statistical methods; risk measures
91G40 Credit risk
62P05 Applications of statistics to actuarial sciences and financial mathematics
62N05 Reliability and life testing
Full Text: DOI
[1] Bielecki T., Credit Risk: Modeling, Valuation and Hedging (2007)
[2] Brigo D., Risk Magazine
[3] Golub H., Matrix Computation (1983)
[4] DOI: 10.2143/AST.32.2.1030 · Zbl 1098.91540
[5] DOI: 10.2143/AST.33.2.503691 · Zbl 1087.91030
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