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Signatures of Systems with Non-exchangeable Lifetimes: Some Implications in the Analysis of Financial Risk

  • Roy CerquetiEmail author
  • Fabio Spizzichino
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 136)

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.

Keywords

Coherent systems Signature Excheangeability Option theory 

Notes

Acknowledgments

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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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  1. 1.Department of Economics and LawUniversity of MacerataMacerataItaly
  2. 2.Department of MathematicsSapienza University of RomeRomeItaly

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