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Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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The ffect of reinsurance treaties on the cedent loss reserving
Najafabadi, Amir T. Payandeh; Atatalab, Fatemeh - In: Journal of modelling in management 19 (2024) 1, pp. 288-310
Persistent link: https://www.econbiz.de/10014486338
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Forecasting systemic impact in financial networks
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - In: International journal of forecasting 30 (2014) 3, pp. 781-794
Persistent link: https://www.econbiz.de/10010515583
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Predicting sovereign credit ratings for portfolio stress testing
Campino, Jonas de Oliveira; Galizia, Frederico; … - In: Journal of risk management in financial institutions 14 (2020/2021) 3, pp. 229-241
Persistent link: https://www.econbiz.de/10012650468
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Model-based approach for scenario design : stress test severity and banks' resiliency
Barbieri, Paolo Nicola; Lusignani, Giuseppe; Prosperi, … - In: Quantitative finance 22 (2022) 10, pp. 1927-1954
Persistent link: https://www.econbiz.de/10013367962
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A Credibility-Based Yield Forecasting Model for Crop Reinsurance Pricing and Weather Risk Management
Zhu, Wenjun - 2020
PurposeThe purpose of this paper is to propose an improved reinsurance pricing framework, which includes a crop yield … regions using a new credibility estimator, and closed form reinsurance pricing formulas. A yield restatement approach to … a credibility estimator for crop yield forecasting, and develop a closed form reinsurance pricing formula …
Persistent link: https://www.econbiz.de/10012855991
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Modeling and management of longevity risk
Cairns, Andrew - In: Recreating sustainable retirement : resilience, …, (pp. 71-88). 2014
Persistent link: https://www.econbiz.de/10010458573
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Modeling and Management of Longevity Risk
Cairns, Andrew J. G. - 2020
In this article we review the state of play in the use of stochastic models for the measurement and management of longevity risk. A focus of the discussion concerns how robust these models are relative to a variety of inputs: something that is particularly important in formulating a risk...
Persistent link: https://www.econbiz.de/10012856918
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Predictive risk analysis using a collective risk model : choosing between past frequency and aggregate severity information
Oh, Rosy; Lee, Youngju; Zhu, Dan; Ahn, Jae Youn - In: Insurance / Mathematics & economics 96 (2021), pp. 127-139
Persistent link: https://www.econbiz.de/10012482789