Credit portfolios, credibility theory, and dynamic empirical Bayes (Q1952686): Difference between revisions
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scientific article
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English | Credit portfolios, credibility theory, and dynamic empirical Bayes |
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Credit portfolios, credibility theory, and dynamic empirical Bayes (English)
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3 June 2013
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Summary: We begin with a review of (a) the pricing theory of multiname credit derivatives to hedge the credit risk of a portfolio of corporate bonds and (b) current approaches to modeling correlated default intensities. We then consider pricing of insurance contracts using credibility theory in actuarial science. After a brief discussion of the similarities and differences of both pricing theories, we propose a new unified approach, which uses recent advances in dynamic empirical Bayes modeling, to evolutionary credibility in insurance rate-making and default modeling of credit portfolios.
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