Multivariate collective risk model : dependent claim numbers and Panjer's recursion
Year of publication: |
2020
|
---|---|
Authors: | Rudolph, Cordelia ; Schmock, Uwe |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 2/43, p. 1-31
|
Subject: | extended CreditRisk+ | Poisson mixture distribution | dependence modelling | compound distribution | Panjer recursion | Theorie | Theory | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process | Kreditrisiko | Credit risk |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8020043 [DOI] hdl:10419/257997 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Multivariate collective risk model: Dependent claim numbers and Panjer's recursion
Rudolph, Cordelia, (2020)
-
Importance sampling in the presence of PD-LGD correlation
Metzler, Adam, (2020)
-
A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe, (2021)
- More ...
-
Multivariate collective risk model: Dependent claim numbers and Panjer's recursion
Rudolph, Cordelia, (2020)
-
Dependence properties of dynamic credit risk models
Bäuerle, Nicole, (2012)
-
Erratum to: Dependence properties of dynamic credit risk models
Bäuerle, Nicole, (2012)
- More ...