Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model (Q2218860)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7297568
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model |
scientific article; zbMATH DE number 7297568 |
Statements
Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model (English)
0 references
18 January 2021
0 references
vector-valued risk operators
0 references
vector-valued loss measures at ruin
0 references
risk management based on internal models
0 references
Markov chains
0 references
NWUE
0 references
Solvency II
0 references
0 references
0 references
0 references
0 references
0 references
0.8266070485115051
0 references
0.8140102624893188
0 references
0.8072943687438965
0 references
0.7686453461647034
0 references
0.754187285900116
0 references
