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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 describes a paper that models a firm value by a jump-diffusion process and derives an ...- Authors: Bin Li, Xiaowen Zhou, Qihe Tang
- 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 describes a paper that proposes a new model for the loss given default (LGD), which takes ...- 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 2: Main Results
Loss Given Default in the Presence of Multivariate Regular Variation. Part 2: Main Results This abstract describes a paper that proposes a new model for the loss given default (LGD), which takes ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Applied Robust Performance Analysis for Actuarial Applications
Applied Robust Performance Analysis for Actuarial Applications This paper investigates techniques for the assessment of model error in the context of insurance risk analysis. Modeling errors; ...- 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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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.- 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
Mitigating Extreme Risks through Securitization This research report examines readers to Insurance-linked securities (ILSs) emphasizing catastrophe bonds (CAT) and industry loss warranties ...- 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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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 abstract describes a paper that extends the asymptotic analysis for the HG risk measure to the ...- Authors: Qihe Tang, Fan Yang
- Date: Feb 2014
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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 ...- Authors: Qihe Tang
- Date: Feb 2014