Provisioning against borrowers default risk
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Publication:903327
DOI10.1016/j.insmatheco.2015.10.004zbMath1348.91177MaRDI QIDQ903327
Pierre Vallois, Geoffrey Nichil
Publication date: 5 January 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.004
quantile; Poisson point process; geometric Brownian motion; borrower default risk; individual stochastic provisioning; time of default