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Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing
[The Econometrics of Individual Risk: Credit, Insurance, and Marketing]

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Author Info

  • Christian Gourieroux

    (Laboratory for Finance and Insurance, Center for Research in Economics and Statistics (CREST); University of Toronto)

  • Joann Jasiak

    (York University, Toronto)

Abstract

The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course in the econometric theory of individual risk illustrated by empirical examples. And, unlike other texts, it is focused entirely on solving the actual individual risk problems businesses confront today. Christian Gourieroux and Joann Jasiak emphasize the microeconometric aspect of risk analysis by extensively discussing practical problems such as retail credit scoring, credit card transaction dynamics, and profit maximization in promotional mailing. They address regulatory issues in sections on computing the minimum capital reserve for coverage of potential losses, and on the credit-risk measure CreditVar. The book will interest graduate students in economics, business, finance, and actuarial studies, as well as actuaries and financial analysts.

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Bibliographic Info

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This chapter was published in: Christian Gourieroux & Joann Jasiak , , pages , 2007.

This item is provided by Princeton University Press in its series Introductory Chapters with number 8433-1.

Handle: RePEc:pup:chapts:8433-1

Contact details of provider:
Web page: http://press.princeton.edu

Related research

Keywords: econometrics; individual risk; credit; insuranace; marketing; banks; regulation; retail credit scoring; capital reserve;

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Cited by:
  1. José Fernando Moreno Gutiérrez & Luis Fernando Melo Velandia, 2011. "Pronóstico de incumplimientos de pago mediante máquinas de vectores de soporte: una aproximación inicial a la gestión del riesgo de crédito," BORRADORES DE ECONOMIA 009079, BANCO DE LA REPÚBLICA.
  2. Shi, Peng & Valdez, Emiliano A., 2011. "A copula approach to test asymmetric information with applications to predictive modeling," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 226-239, September.
  3. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.

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