Collective Risk Generalization to Creditrisk+
Using the collective risk models of actuarial science, the Creditrisk+ is extended to the case of random number obligors. First, mathematical methods to compute the distribution of total loss are studied. Then, the mathematical results are applied and verified numerically. The insufficiency data in...
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| Format: | Article |
| Language: | English |
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Society for Risk Analysis - China
2018-12-01
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| Series: | Journal of Risk Analysis and Crisis Response (JRACR) |
| Subjects: | |
| Online Access: | https://www.atlantis-press.com/article/125905623.pdf |