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Theory and Practice of Risk Assessment pp 361–375Cite as

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

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Part of the book series: Springer Proceedings in Mathematics & Statistics ((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.

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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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Authors and Affiliations

  1. Department of Economics and Law, University of Macerata, Via Crescimbeni 20, 62100, Macerata, Italy

    Roy Cerqueti

  2. Department of Mathematics, Sapienza University of Rome, Rome, Italy

    Fabio Spizzichino

Authors
  1. Roy Cerqueti
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  2. Fabio Spizzichino
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Corresponding author

Correspondence to Roy Cerqueti .

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Editors and Affiliations

  1. Technological Educational Institute of Athens, Athens, Greece

    Christos P. Kitsos

  2. Universidade Aberta, Palácio Ceia, Lisbon, Portugal

    Teresa A. Oliveira

  3. Democritus University, Thrace, Germany

    Alexandros Rigas

  4. Florida International University, Miami, Florida, USA

    Sneh Gulati

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Cerqueti, R., Spizzichino, F. (2015). Signatures of Systems with Non-exchangeable Lifetimes: Some Implications in the Analysis of Financial Risk. In: Kitsos, C., Oliveira, T., Rigas, A., Gulati, S. (eds) Theory and Practice of Risk Assessment. Springer Proceedings in Mathematics & Statistics, vol 136. Springer, Cham. https://doi.org/10.1007/978-3-319-18029-8_27

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