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

139

SSRN CITATIONS

0

CROSSREF CITATIONS

0

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 68 (334,862)
Citation 1

Abstract:

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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 50 (388,754)

Abstract:

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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 15 (552,136)

Abstract:

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

4.
Downloads 6 (609,165)

Abstract:

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