Simulation of risk processes

The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears naturally in rating triggered step-up bonds, where the interest rate is bound to random changes of the companies? ratings.

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Year of publication:	2004
Authors:	Härdle, Wolfgang Karl ; Burnecki, Krzysztof ; Weron, Rafał
Institutions:	Center for Applied Statistics and Econometrics (CASE), Humboldt-Universität Berlin

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2004,01
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009228852