Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type (Q2656995): Difference between revisions

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Latest revision as of 19:57, 24 July 2024

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Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
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    Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type (English)
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    17 March 2021
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    systemic risk
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    size-biased distribution
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    phase-type distribution
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    conditional tail expectation
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    economic capital allocation
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