An efficient algorithm to measure the insurance risk of casuality insurance company using VaR methodology

DOI10.12941/JKSIAM.2012.16.2.137MaRDI QIDQ5258652zbMATH OpenOpenAlexFDO

Authors Joon Hwa Ban, Hyun-Cheol Hwang, H. Ki

Publication date 23 June 2015

Published in Journal of the Korea Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.12941/jksiam.2012.16.2.137

zbMATH Keywords

credit riskVaR methodology

Mathematics Subject Classification ID

Credit risk (91G40)

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Cited in

(2)

• Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
• The Strategic Uses of Value at Risk

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