Common Poisson shock models : Applications to insurance and credit risk modelling

The idea of using common Posson shock processes to model dependent event frequencies is well known in the reliability literature. In this paper we examine these models in the context of insurance loss modelling and credit risk modelling...

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Year of publication:	2003-11-01
Authors:	Lindskog, Filip ; McNeil, Alexander J.
Publisher:	International Actuarial Association / Actuarial Studies in Non-Life Insurance
Subject:	Versicherungsbetriebslehre \| insurance management \| Risikomanagement \| risk management \| Versicherungswirtschaft

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Extent:	552960 bytes 30 p. application/pdf
Series:	Casualty Actuarial Society - Publications ASTIN BULLETIN - Vol.33 - No.2 - 2003 ; 209-238
Type of publication:	Book / Working Paper
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Working Papers, Preprints ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847004