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  • Search: subject:"Saddle point approximation"
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Year of publication
Subject
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Basel II 2 IRB approach 2 analytical approximation 2 double default 2 granularity adjustment 2 Cumulative distribution function 1 Heuristisches Verfahren 1 Kreditrisiko 1 Kreditwürdigkeit 1 Messung 1 Poisson-Bernoulli distributions 1 Random sum 1 Saddle point approximation 1 Theorie 1 saddle- point approximation 1 saddle-point approximation 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Working Paper 1
Language
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English 2 Undetermined 1
Author
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Lütkebohmert, Eva 2 AL MUTAIRI ALYA O. 1 LOW, HENG CHIN 1
Institution
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University of Bonn, Germany 1
Published in...
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Bonn Econ Discussion Papers 2 Journal of Asian Scientific Research 1
Source
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RePEc 2 EconStor 1
Showing 1 - 3 of 3
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Saddle Point Approximation to Cumulative Distribution Function for Damage Process
AL MUTAIRI ALYA O.; LOW, HENG CHIN - In: Journal of Asian Scientific Research 3 (2013) 5, pp. 485-492
The random sum distribution plays a key role in the application of statistics, in addition, it can be used with insurance program, biotechnology and applied medical science. The statistical significance of this distribution arises from its applicability in real life situations. Saddle point...
Persistent link: https://www.econbiz.de/10010666551
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Cover Image
Failure of saddle-point method in the presence of double defaults
Lütkebohmert, Eva - 2009
We show that the saddle-point approximation method to quantify the impact of undiversi?ed idiosyncratic risk in a …
Persistent link: https://www.econbiz.de/10010270010
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Cover Image
FAILURE OF SADDLE-POINT METHOD IN THE PRESENCE OF DOUBLE DEFAULTS
Lütkebohmert, Eva - University of Bonn, Germany - 2009
We show that the saddle-point approximation method to quantify the impact of undiversi?ed idiosyncratic risk in a …
Persistent link: https://www.econbiz.de/10005009777
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