A generalization of Panjer's recursion and numerically stable risk aggregation
Stefan Gerhold; Uwe Schmock; Richard Warnung
| Year of publication: |
2009
|
|---|---|
| Authors: | Gerhold, Stefan ; Schmock, Uwe ; Warnung, Richard |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 14.2010, 1, p. 81-128
|
| Subject: | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Operationelles Risiko | Operational risk | Statistische Verteilung | Statistical distribution | Simulation | Nichtparametrisches Verfahren | Nonparametric statistics |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003924803