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Max-Factor individual risk models with application to credit portfolios

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  • Denuit, Michel
  • Kiriliouk, Anna
  • Segers, Johan

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  • Denuit, Michel & Kiriliouk, Anna & Segers, Johan, 2014. "Max-Factor individual risk models with application to credit portfolios," LIDAM Discussion Papers ISBA 2014048, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2014048
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    References listed on IDEAS

    as
    1. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    2. Denuit, Michel & Lefevre, Claude & Utev, Sergey, 2002. "Measuring the impact of dependence between claims occurrences," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 1-19, February.
    3. Cossette, Helene & Gaillardetz, Patrice & Marceau, Etienne & Rioux, Jacques, 2002. "On two dependent individual risk models," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 153-166, April.
    4. Denuit, Michel & Lambert, Philippe, 2005. "Constraints on concordance measures in bivariate discrete data," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 40-57, March.
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