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Comparison of conditional distributions in portfolios of dependent risks

Sordo, Miguel A.; Suárez-Llorens, Alfonso; Bello, … - In: Insurance / Mathematics & economics 61 (2015), pp. 62-69

Persistent link: https://www.econbiz.de/10010515927

Importance sampling in the presence of PD-LGD correlation

Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36

This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large … importance sampling to estimate large deviation probabilities in those models. Numerical evidence indicates that the proposed …

Persistent link: https://www.econbiz.de/10012203783

A new stochastic dominance criterion for dependent random variables with applications

Belzunce, Félix; Martinez-Riquelme, Carolina - In: Insurance / Mathematics & economics 108 (2023), pp. 165-176

Persistent link: https://www.econbiz.de/10013534518

Portfolio return distributions : sample statistics with stochastic correlations

Chetalova, Desislava; Schmitt, Thilo A.; Schäfer, Rudi; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011403228

On multivariate extensions of the conditional value-at-risk measure

Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16

Persistent link: https://www.econbiz.de/10010515946

Modeling and performance of bonus-malus systems : stationarity versus age-correction

Asmussen, Søren - In: Risks : open access journal 2 (2014) 1, pp. 49-73

In a bonus-malus system in car insurance, the bonus class of a customer is updated from one year to the next as a function of the current class and the number of claims in the year (assumed Poisson). Thus the sequence of classes of a customer in consecutive years forms a Markov chain, and most...

Persistent link: https://www.econbiz.de/10010338093