Multivariate collective risk model : dependent claim numbers and Panjer's recursion
Year of publication: |
2020
|
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Authors: | Rudolph, Cordelia ; Schmock, Uwe |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 2/43, p. 1-31
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Subject: | extended CreditRisk+ | Poisson mixture distribution | dependence modelling | compound distribution | Panjer recursion | Statistische Verteilung | Statistical distribution | Theorie | Theory | Risikomodell | Risk model | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Kreditrisiko | Credit risk |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8020043 [DOI] hdl:10419/257997 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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