Collective Risk Generalization to Creditrisk

Using the collective risk models of actuarial science, the Creditrisk+ is extended to the case of random number obligors. First, mathematical methods to compute the distribution of total loss are studied. Then, the mathematical results are applied and verified numerically. The insufficiency data in...

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Bibliographic Details
Published in:Journal of risk analysis and crisis response 2018, Vol.8 (4), p.185
Main Author: Habibi, Reza
Format: Article
Language:English
Subjects:
Bayesian inference
Collective risk
Creditrisk+
Modelrisk
Data scarce problem
Moment generating function
Monte Carlo simulation
Online Access:Get full text
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Summary:Using the collective risk models of actuarial science, the Creditrisk+ is extended to the case of random number obligors. First, mathematical methods to compute the distribution of total loss are studied. Then, the mathematical results are applied and verified numerically. The insufficiency data in risk management is a big problem. Thus, the case of data scarce is studied using a Bayesian approach. Finally, a concluding remarks section is also given.
ISSN:2210-8505
2210-8505
DOI:10.2991/jrarc.2018.8.4.2