Large portfolio losses

Finance and Stochastics

Volumn 8, Issue 1, 2004, Pages 3-16

  Dembo, Amir ^a   Deuschel, Jean Dominique ^b   Duffie, Darrell ^c  

^a STANFORD UNIVERSITY   (United States)

^b TECHNISCHE UNIVERSITÄT BERLIN   (Germany)

^c STANFORD UNIVERSITY   (United States)

Author keywords

Insurance; Large deviations; Portfolio loss; Risk measure

Indexed keywords

EID: 21144438582     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-003-0107-2     Document Type: Article

References (10)

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5. Harrison, J.M.: Ruin problems with compounding assets. Stochast. Proc. Appl. 5, 67-79 (1977)
6. Kalashnikov, V., Norberg, R.: Power tailed ruin probabilities in the presence of risky investments. Stochast. Proc. Appl. 104, 211-228 (2002)
7. Myers, S., Majluf, N.: Corporate financing and investment when firms have information share-holders do not have. J. Financial Econ. 13, 187-221 (1984)
8. Nickell, P., Perraudin, W., Varotto, S.: Stability of ratings transitions. J. Banking Finance (January) (2000)
9. Norberg, R.: Ruin problems with assets and liabilities of diffusion type. Stochast. Proc. Appl. 83, 319-330 (1999)
10. Corradin, S., Verbrigge, B.: Economic risk capital and reinsurance: an application to fire claims of an insurance company. RAS, Pianificazione Redditività di Gruppo (December) (2001)