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Loss Given Default in the Presence of Multivariate Regular Variation. Part 2: Main Results
Loss Given Default in the Presence of Multivariate Regular Variation. Part 2: Main Results This abstract ... proposes a new model for the loss given default (LGD), which takes the depth of default into consideration ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Loss Given Default in the Presence of Multivariate Regular Variation. Part 1: Introduction
Loss Given Default in the Presence of Multivariate Regular Variation. Part 1: Introduction This abstract ... proposes a new model for the loss given default (LGD), which takes the depth of default into consideration ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Asymptotic Expressions for the Haezendonck- Goovaerts Risk Measure with General Young Function
Asymptotic Expressions for the Haezendonck- Goovaerts Risk Measure with General Young Function This ... describes a paper that extends the asymptotic analysis for the HG risk measure to the case with a general Young ...- Authors: Qihe Tang, Fan Yang
- Date: Feb 2014
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Applied Robust Performance Analysis for Actuarial Applications
Applied Robust Performance Analysis for Actuarial Applications This paper investigates ... investigates techniques for the assessment of model error in the context of insurance risk analysis. Modeling ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Nov 2016
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Mitigating Extreme Risks through Securitization
Society of Actuaries Mitigating Extreme Risk Through Securitization Caveat and Disclaimer The opinions ... reached by the authors are their own and do not represent any official position or opinion of the Society ...- Authors: Kwai Hung Henry Lam, Qihe Tang, Zhongyi Yuan, Jose Blanchet
- Date: Mar 2017
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Interplay of Insurance and Financial Risks in a Discrete-time Model with Strong Regular Variation
Interplay of Insurance and Financial Risks in a Discrete-time Model with Strong Regular Variation This ... abstract describes a paper that focuses on the tail probability of the aggregate risk amount. 6442453331 2/1/2014 ...- Authors: Qihe Tang
- Date: Feb 2014
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Applied Robust Performance Analysis for Actuarial Applications Presentation
Applied Robust Performance Analysis for Actuarial Applications Presentation This paper ... investigates techniques for the assessment of model error in the context of insurance risk analysis. Modeling ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Nov 2016
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Default Risk of a Jump-Diffusion Model Subject to Chapter 7 and Chapter 11 Bankruptcy Codes
Default Risk of a Jump-Diffusion Model Subject to Chapter 7 and Chapter 11 Bankruptcy Codes This abstract ... jump-diffusion process and derives an explicit formula for the default probability. 4294993469 12/1/2012 12:00:00 ...- Authors: Bin Li, Xiaowen Zhou, Qihe Tang
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments