Volume 8, Issue 4, December 2018, Pages 185 - 191
Collective Risk Generalization to Creditrisk+
Received 19 June 2018, Accepted 25 July 2018, Available Online 31 December 2018.
- https://doi.org/10.2991/jrarc.2018.8.4.2How to use a DOI?
- Bayesian inference; Collective risk; Creditrisk+; Modelrisk; Data scarce problem; Moment generating function; Monte Carlo simulation
- 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.
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 -