Signatures of Systems with Non-exchangeable Lifetimes: Some Implications in the Analysis of Financial Risk
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.
KeywordsCoherent systems Signature Excheangeability Option theory
The authors are grateful to the participants in the International Conference on Risk Analysis (ICRA5) Conference in Tomar, Portugal (May-June, 2013). FS has been partially supported by Project “Aspetti di dipendenza stocastica e rischio in modelli probabilistici”, Univ. La Sapienza, 2014.
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