The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
Year of publication: |
2016
|
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Authors: | Joshi, Mark S. ; Zhu, Dan |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 46.2016, 2, p. 431-467
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Subject: | Sensitivity analysis | ruin probabilities | Monte Carlo | risk-based capital | Sensitivitätsanalyse | Wahrscheinlichkeitsrechnung | Probability theory | Risiko | Risk | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomodell | Risk model | Basler Akkord | Basel Accord |
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