Stressing dynamic loss models
type: Item
instance of: scholarly article
title: Stressing dynamic loss models
arXiv ID: 2211.03221
author: Emma Kroell
author: Silvana M. Pesenti
author: Sebastian Jaimungal
published in: Insurance Mathematics \& Economics
publication date: 2024-02-13T00:00:00Z
full work available at URL: https://arxiv.org/abs/2211.03221
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7804020
zbMATH Keywords: reverse stress testing
zbMATH Keywords: compound Poisson processes
zbMATH Keywords: KL divergence
zbMATH Keywords: value-at-risk
zbMATH Keywords: conditional value-at-risk
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W4388894529
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DOI: 10.1016/J.INSMATHECO.2023.11.002
description: scientific article; zbMATH DE number 7804020