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Martingales and Ruin Probability
Martingales and Ruin Probability In a series papers by Willmot and Lin, both exponential and non-exponential bounds for the tail probability of various compound distributions have been derived.- Authors: Gordon E Willmot, Hailiang Yang
- Date: Jan 1996
- 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>Stochastic models
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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 credit quality. A modified Jarrow, Lando and Turnball model [Markov Chain model] is used to ...- 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