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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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Suggested Citation

  • Denuit, Michel & Kiriliouk, Anna & Segers, Johan, 2015. "Max-factor individual risk models with application to credit portfolios," LIDAM Reprints ISBA 2015011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2015011
    Note: In : Insurance: Mathematics and Economics, vol. 62, p. 162-172 (2015)
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    Cited by:

    1. Denuit, Michel & Robert, Christian Y., 2020. "Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent risks," LIDAM Discussion Papers ISBA 2020018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Lautier, Jackson P. & Pozdnyakov, Vladimir & Yan, Jun, 2023. "Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 53-71.
    3. Liu, Jing, 2018. "LLN-type approximations for large portfolio losses," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 71-77.
    4. Michel Denuit & Christian Y. Robert, 2022. "Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1953-1985, September.
    5. Salazar García, Juan Fernando & Guzmán Aguilar, Diana Sirley & Hoyos Nieto, Daniel Arturo, 2023. "Modelación de una prima de seguros mediante la aplicación de métodos actuariales, teoría de fallas y Black-Scholes en la salud en Colombia [Modelling of an insurance premium through the application," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 35(1), pages 330-359, June.

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