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A bridge from ruin theory to credit risk

✍ Scribed by Cho-Jieh Chen; Harry Panjer


Book ID
106516298
Publisher
Springer US
Year
2008
Tongue
English
Weight
373 KB
Volume
32
Category
Article
ISSN
0924-865X

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Ruin theory with risk proportional to th
✍ Thomas Siegl; Robert F. Tichy πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 190 KB

A model is proposed for addressing investment risk of the free reserve, in the form of credit or currency risk. This risk is expressed by a constant factor Ξ± that represents the recovery rate of a bond or a devaluation factor. Securitization (e.g. with a CAT-bond like product) yields a constant amou