Arbeitspapier
Simulation of risk processes
The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears naturally in rating triggered step-up bonds, where the interest rate is bound to random changes of the companies? ratings.
- Language
-
Englisch
- Bibliographic citation
-
Series: Papers ; No. 2004,01
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Härdle, Wolfgang Karl
Burnecki, Krzysztof
Weron, Rafał
- Event
-
Veröffentlichung
- (who)
-
Humboldt-Universität zu Berlin, Center for Applied Statistics and Economics (CASE)
- (where)
-
Berlin
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Härdle, Wolfgang Karl
- Burnecki, Krzysztof
- Weron, Rafał
- Humboldt-Universität zu Berlin, Center for Applied Statistics and Economics (CASE)
Time of origin
- 2004
Other Objects (12)
Modelling dynamic portfolio risk using risk drivers of elliptical processes
A simulation based specification test for diffusion processes
Interbank risk assessment: A simulation approach
Systemic Risk: A More Rigorous and Realistic Simulation
Income risk and consumption inequality: A simulation study
Conversion of Semimarkov Processes to Chung Processes
Partial information about contagion risk, self-exciting processes and portfolio optimization
Consistency of Decision Processes
On the Relationship of Information Processes and Asset Price Processes
Kolmogorov-Smirnov-type testing for the partial homogeneity of Markov processes - with application to credit risk.
Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Aggregation of Hospital Business Processes
Modelling dynamic portfolio risk using risk drivers of elliptical processes
A simulation based specification test for diffusion processes
Interbank risk assessment: A simulation approach
Systemic Risk: A More Rigorous and Realistic Simulation
Income risk and consumption inequality: A simulation study
Conversion of Semimarkov Processes to Chung Processes
Partial information about contagion risk, self-exciting processes and portfolio optimization
Consistency of Decision Processes
On the Relationship of Information Processes and Asset Price Processes
Kolmogorov-Smirnov-type testing for the partial homogeneity of Markov processes - with application to credit risk.
Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Aggregation of Hospital Business Processes
Modelling dynamic portfolio risk using risk drivers of elliptical processes
A simulation based specification test for diffusion processes
Interbank risk assessment: A simulation approach
Systemic Risk: A More Rigorous and Realistic Simulation
Income risk and consumption inequality: A simulation study
Conversion of Semimarkov Processes to Chung Processes
Partial information about contagion risk, self-exciting processes and portfolio optimization
Consistency of Decision Processes
On the Relationship of Information Processes and Asset Price Processes
Kolmogorov-Smirnov-type testing for the partial homogeneity of Markov processes - with application to credit risk.
Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk