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Valuation Method Of The Two Survival Functions

In: Distribution Models Theory

Author

Listed:
  • M. FRANCO-NICOLÁS

    (Dpto. Estadística e Investigación Operativa, Universidad de Murcia, Campus de Espinardo, Murcia, 30100, Spain)

  • R. HERRERÍAS-PLEGUEZUELO

    (Department of Quantitative Methods in Economics, University of Granada, Campus de Cartuja s/n., Granada, 18071, Spain)

  • J. CALLEJÓN-CÉSPEDES

    (Department of Quantitative Methods in Economics, University of Granada, Campus de Cartuja s/n., Granada, 18071, Spain)

  • J. M. VIVO-MOLINA

    (Dpto. Métodos Cuantitativos para la Economía, Universidad de Murcia, Campus de Espinardo, Murcia, 30100, Spain)

Abstract

In this paper, we discuss a new application of the survival functions in asset pricing from quality indexes. Thus, we propose the valuation method based on the two survival functions (VMTS) to find, under uncertainty, the market value from a quality index. Within this framework, from a one-dimensional quality index, VMTS is equivalent to the valuation method of the two distribution functions (VMTD), which produces loss with respect to the assessments from each component of a multidimensional quality index; nevertheless, VMTS provides profit with respect to these assessments from each component. Finally, we motivate the use of VMTS, as tools for the valuation of an asset, through a practical application on land pricing.

Suggested Citation

  • M. Franco-Nicolás & R. Herrerías-Pleguezuelo & J. Callejón-Céspedes & J. M. Vivo-Molina, 2006. "Valuation Method Of The Two Survival Functions," World Scientific Book Chapters, in: Rafael Herrerías Pleguezuelo & José Callejón Céspedes & José Manuel Herrerías Velasco (ed.), Distribution Models Theory, chapter 3, pages 55-66, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812772992_0003
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    Keywords

    Inference; Uncertainty; Copulas; Stochastic Dominance; Bayesian Techniques; Hierarchical Bayesian Model; Poisson-Gamma-Gamma Model; Experience Rating; Specific Fecundity Rates; Fecundity Curves; Topp and Leone Distributions; Waring Distribution; Factorial; Cluster; Discrimination Analyses; Survival Functions;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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