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Asymptotic analysis of the loss given default in the presence of multivariate regular variation

Tang, Qihe; Yuan, Zhongyi - In: North American actuarial journal 17 (2013) 3, pp. 253-271

Persistent link: https://www.econbiz.de/10011338512

Sharp asymptotics for large portfolio losses under extreme risks

Tang, Qihe; Tang, Zhaofeng; Yang, Yang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 710-722

Persistent link: https://www.econbiz.de/10012003644

A limit distribution of credit portfolio losses with low default probabilities

Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 156-167

Persistent link: https://www.econbiz.de/10011702063

Large portfolio losses in a turbulent market

Tang, Qihe; Tong, Zhiwei; Yang, Yang - In: European journal of operational research : EJOR 292 (2021) 2, pp. 755-769

Persistent link: https://www.econbiz.de/10012502397

Optimal Reinsurance in the Presence of Counterparty Default Risk

Asimit, Alexandru Vali - 2014

The optimal reinsurance arrangement is identified whenever the reinsurer counterparty default risk is incorporated in a one-period model. Our default risk model allows the possibility for the reinsurer to fail paying in full the promised indemnity, whenever it exceeds the level of regulatory...

Persistent link: https://www.econbiz.de/10013063979

Multiple risk factor dependence structures : distributional properties

Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 76 (2017), pp. 56-68

Persistent link: https://www.econbiz.de/10011774770

Multiple risk factor dependence structures : copulas and related properties

Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 74 (2017), pp. 109-121

Persistent link: https://www.econbiz.de/10011712411