A generalization of Panjer’s recursion and numerically stable risk aggregation
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References listed on IDEAS
- H. Panjer, Harry & Shaun Wang, 2, 1993. "On the Stability of Recursive Formulas," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 23(02), pages 227-258, November.
- Gordy, Michael B., 2002. "Saddlepoint approximation of CreditRisk+," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1335-1353, July.
- Sundt, Bjørn & Jewell, William S., 1981. "Further Results on Recursive Evaluation of Compound Distributions," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 12(01), pages 27-39, June.
- L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters,in: Credit and State Theories of Money, chapter 1 Edward Elgar Publishing.
- Philippe Robert-Demontrond & R. Ringoot, 2004. "Introduction," Post-Print halshs-00081823, HAL.
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- repec:gam:jjrfmx:v:9:y:2015:i:1:p:1:d:61528 is not listed on IDEAS
- repec:gam:jrisks:v:5:y:2017:i:2:p:23-:d:94636 is not listed on IDEAS
- Dirk Tasche, 2015. "The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 9(1), pages 1-18, December.
- Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko, 2015. "Actuarial Applications and Estimation of Extended~CreditRisk$^+$," Papers 1505.04757, arXiv.org, revised Apr 2017.
More about this item
KeywordsPortfolio credit risk; CreditRisk + ; Operational risk; Collective risk model; Extended negative binomial distribution; Extended logarithmic distribution; Compound distribution; Extended Panjer recursion; Numerical stability; De Pril’s recursion; Poisson mixture distribution; Generalized tempered stable distribution; (Generalized) inverse Gaussian distribution; Reciprocal generalized inverse Gaussian distribution; Inverse gamma distribution; Severities with mixed support; 91B30; 65Q05; 62P05; C63; C16;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
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