21 research outputs found
The credit risk + model with general sector correlations
Credit risk + , Compound gamma distribution, Value at risk, Risk contribution, Correlation, Portfolio loss distribution, Moment generating function,
How Much Risk Is Mitigated by LTC Protection Schemes? A Methodological Note and a Case Study of the Public System in Spain
Bivariate Bernoulli Weighted Sums and Distribution of Single-Period Tontine Benefits
This paper studies the distribution of particular weighted sums of Bernoulli random variables. The computing methods are applied to derive the probability distribution of the random amount of survivor credits to be shared among surviving participants in singleperiod tontine schemes. The effectiveness of this new arrangement can then be evaluated beyond the classical analysis based on crude approximations for the two first moments, only