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Ruin Theory and Credit Risk
Ruin Theory and Credit Risk This paper builds a new risk model for a firm which is sensitive to its ... model the credit rating. Recursive equations for finite time ruin probability and distribution of ruin ...- Authors: Hailiang Yang
- Date: Jan 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Markov Chain; Modeling & Statistical Methods>Stochastic models