Budhi Surya

Victoria University of Wellington

Lecturer

P.O. Box 600

Wellington, 6140

New Zealand

http://homepages.ecs.vuw.ac.nz/Users/BudhiSurya/WebHome

SCHOLARLY PAPERS

4

DOWNLOADS

159

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Generalized Phase-Type Distribution and Competing Risks for Markov Mixtures Process

Number of pages: 34 Posted: 17 May 2016 Last Revised: 14 Nov 2016
Budhi Surya
Victoria University of Wellington
Downloads 70 (341,196)
Citation 1

Abstract:

Loading...

Markov chains, Markov mixture processes, phase-type distributions, forward intensity, lifetime and survival analysis

2.

Conditional Phase-Type Distribution Under Doubly Stochastic Jump Markov Processes with Observed Covariates

Number of pages: 31 Posted: 20 Jan 2017 Last Revised: 10 Mar 2017
Budhi Surya
Victoria University of Wellington
Downloads 52 (395,268)

Abstract:

Loading...

Doubly stochastic Poisson process, jump Markov process, forward intensity approach, phase-type distribution, survival analysis, competing risks, credit risk

3.

The Leland-Toft Optimal Capital Structure Model Under Poisson Observations

Number of pages: 34 Posted: 16 May 2019
affiliation not provided to SSRN, Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics, Victoria University of Wellington and Kansai University - Department of Mathematics
Downloads 29 (489,278)

Abstract:

Loading...

credit risk, endogenous bankruptcy, optimal capital structure, spectrally negative Levy processes, term structure of credit spreads

4.
Downloads 8 (617,236)

Abstract:

Loading...

Markov jump process, mixture of Markov jump processes, first exit times, conditional multivariate distributions, phase-type model