Max-factor individual risk models with application to credit portfolios

DOI10.1016/J.INSMATHECO.2015.03.006zbMath1318.91110arXiv1412.3230OpenAlexW2082629172MaRDI QIDQ2347068

Johan Segers, Anna Kiriliouk, Michel M. Denuit

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.3230

zbMATH Keywords

calibrationlatent factorsdependence modellingdefault indicatorloss occurrence

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (6)

Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses ⋮ LLN-type approximations for large portfolio losses ⋮ A limit distribution of credit portfolio losses with low default probabilities ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach

Cites Work

• Empirical investigation of insurance claim dependencies using mixture models
• Constraints on concordance measures in bivariate discrete data
• Measuring the impact of dependence between claims occurrences.
• On two dependent individual risk models.
• Multivariate insurance models: an overview
• Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions

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