The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
by Mark S. Joshi and Dan Zhu
| Year of publication: |
2016
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|---|---|
| Authors: | Joshi, Mark S. ; Zhu, Dan |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 46.2016, 2, p. 431-467
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| Subject: | Sensitivity analysis | ruin probabilities | Monte Carlo | risk-based capital | Sensitivitätsanalyse | Wahrscheinlichkeitsrechnung | Probability theory | Risiko | Risk | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomodell | Risk model | Basler Akkord | Basel Accord |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2016.5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011576782