Max-factor individual risk models with application to credit portfolios
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Publication:2347068
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
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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