Journal of Risk Analysis and Crisis Response

Volume 8, Issue 4, December 2018, Pages 185 - 191

Collective Risk Generalization to Creditrisk+

Authors
Reza Habibi
Received 19 June 2018, Accepted 25 July 2018, Available Online 31 December 2018.
DOI
https://doi.org/10.2991/jrarc.2018.8.4.2How to use a DOI?
Keywords
Bayesian inference; Collective risk; Creditrisk+; Modelrisk; Data scarce problem; Moment generating function; Monte Carlo simulation
Abstract
Using the collective risk models of actuarial science, the Creditrisk+ is extended to the case of random number obligors. First, mathematical methods to compute the distribution of total loss are studied. Then, the mathematical results are applied and verified numerically. The insufficiency data in risk management is a big problem. Thus, the case of data scarce is studied using a Bayesian approach. Finally, a concluding remarks section is also given.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Journal
Journal of Risk Analysis and Crisis Response
Volume-Issue
8 - 4
Pages
185 - 191
Publication Date
2018/12/31
ISSN (Online)
2210-8505
ISSN (Print)
2210-8491
DOI
https://doi.org/10.2991/jrarc.2018.8.4.2How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - JOUR
AU  - Reza Habibi
PY  - 2018
DA  - 2018/12/31
TI  - Collective Risk Generalization to Creditrisk+
JO  - Journal of Risk Analysis and Crisis Response
SP  - 185
EP  - 191
VL  - 8
IS  - 4
SN  - 2210-8505
UR  - https://doi.org/10.2991/jrarc.2018.8.4.2
DO  - https://doi.org/10.2991/jrarc.2018.8.4.2
ID  - Habibi2018
ER  -