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2000 Mathematics Subject Classification: 60G48, 60G20, 60G15, 60G17.
JEL Classification: G10
The change in the wealth of a market agent (an investor, a
company, a bank etc.) in an economy is a popular topic in finance. In this
paper, we propose a general stochastic model describing the wealth process
and give some of its properties and special cases. A result regarding the
probability of default within the framework of the model is also offered.
Павел Т. Стойнов - В тази работа се разглежда отрицателно биномното разпределение, известно още като разпределение на Пойа. Предполагаме, че смесващото разпределение е претеглено гама разпределение. Изведени са вероятностите в някои частни случаи.
Дадени са рекурентните формули на Панжер.
In this paper the mixed negative binomial distribution, known also as P´olya distribution is considered. We suppose that the mixing distribution is a weighted Gamma distribution. We derive the probability...
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