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Activity Number:
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100
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Type:
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Topic Contributed
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Date/Time:
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Monday, August 7, 2006 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Bayesian Statistical Science
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| Abstract - #306628 |
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Title:
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Reliability and Survival in Financial Risk
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Author(s):
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Nozer Singpurwalla*+
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Companies:
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The George Washington University
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Address:
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Department of Statistics, Washington, DC, 20052,
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Keywords:
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bonds ; nonparametric Bayes ; Dirichlet processes ; monotone interest rates ; stochastic interest rates
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Abstract:
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In this talk, we will point out connections between the asset pricing formula of fixed income investments and the exponentiation formula of reliability and survival. Once this connection is made, results from one discipline can be imported to the other and vice versa. Several results in reliability and survival have a Bayesian angle, and the relevance of such results in mathematical finance can be articulated.
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