Simulation of risk processes

Krzysztof Burnecki; Wolfgang Härdle; Rafal Weron

The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears naturally in rating triggered step-up bonds, where the interest rate is bound to random changes of the companies' ratings.

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Year of publication:	2004
Other Persons:	Burnecki, Krzysztof (contributor) ; Härdle, Wolfgang (contributor) ; Weron, Rafał (contributor)
Publisher:	Berlin : CASE
Subject:	Simulation \| Risiko \| Risk \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process

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Extent:	Online-Ressource, 7 p., text ill
Series:	Publikationen / Center for Applied Statistics and Economics. - Berlin : [Verlag nicht ermittelbar], ZDB-ID 2195060-X. - Vol. 2004,1
Type of publication:	Book / Working Paper
Language:	English
Notes:	Systemvoraussetzungen: Acrobat reader
Source:	ECONIS - Online Catalogue of the ZBW

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