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Gerhold, S., Schmock, U., & Warnung, R. (2010). A Generalization of the Panjer Recursion and Numerically Stable Risk Aggregation. Finance and Stochastics, 14(1), 81–128. https://doi.org/10.1007/s00780-009-0104-1
E105-05 - Forschungsbereich Stochastische Finanz- und Versicherungsmathematik E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
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Journal:
Finance and Stochastics
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ISSN:
0949-2984
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Date (published):
2010
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Number of Pages:
48
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Peer reviewed:
Yes
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Keywords:
Statistics and Probability; Statistics, Probability and Uncertainty; Finance
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Project title:
Christian Doppler Laboratory for Portfolio Risk Management (PRisMa Lab) (CDG Christian Doppler Forschungsgesellschaft)
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Research Areas:
Modelling and Simulation: 20% Mathematical and Algorithmic Foundations: 80%
