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

DOI10.12941/JKSIAM.2012.16.2.137zbMATH Open1316.91014OpenAlexW1998711066MaRDI QIDQ5258652FDOQ5258652

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

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zbMATH Keywords

credit riskVaR methodology

Mathematics Subject Classification ID

Credit risk (91G40)

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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