File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Ruin theory in a financial corporation model with credit risk

TitleRuin theory in a financial corporation model with credit risk
Authors
Yang, H
KeywordsCredit rating
Default probability
Default time
Markov chain
Recursive equation
Ruin theory
Severity of ruin
Volterra type integral equation system
Issue Date2003
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2003, v. 33 n. 1, p. 135-145 How to Cite?
DOI: http://dx.doi.org/10.1016/S0167-6687(03)00149-5
AbstractThis paper builds a new risk model for a firm which is sensitive to its credit quality. A modified Jarrow, Lando and Turnbull model (Markov chain model) is used to model the credit rating. Recursive equations for finite time ruin probability and distribution of ruin time are derived. Coupled Volterra type integral equation systems for ultimate ruin probability, severity of ruin and joint distribution of surplus before and after ruin are also obtained. Some numerical results are included. © 2003 Elsevier Science B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/82940
ISSN
0167-6687
2023 Impact Factor: 1.9
2023 SCImago Journal Rankings: 1.113
ISI Accession Number ID
WOS:000186288200010
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-09-06T08:35:08Z-
dc.date.available2010-09-06T08:35:08Z-
dc.date.issued2003en_HK
dc.identifier.citationInsurance: Mathematics And Economics, 2003, v. 33 n. 1, p. 135-145en_HK
dc.identifier.issn0167-6687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82940-
dc.description.abstractThis paper builds a new risk model for a firm which is sensitive to its credit quality. A modified Jarrow, Lando and Turnbull model (Markov chain model) is used to model the credit rating. Recursive equations for finite time ruin probability and distribution of ruin time are derived. Coupled Volterra type integral equation systems for ultimate ruin probability, severity of ruin and joint distribution of surplus before and after ruin are also obtained. Some numerical results are included. © 2003 Elsevier Science B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_HK
dc.relation.ispartofInsurance: Mathematics and Economicsen_HK
dc.subjectCredit ratingen_HK
dc.subjectDefault probabilityen_HK
dc.subjectDefault timeen_HK
dc.subjectMarkov chainen_HK
dc.subjectRecursive equationen_HK
dc.subjectRuin theoryen_HK
dc.subjectSeverity of ruinen_HK
dc.subjectVolterra type integral equation systemen_HK
dc.titleRuin theory in a financial corporation model with credit risken_HK
dc.typeArticleen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/S0167-6687(03)00149-5en_HK
dc.identifier.scopuseid_2-s2.0-0141760358en_HK
dc.identifier.hkuros88769en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0141760358&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume33en_HK
dc.identifier.issue1en_HK
dc.identifier.spage135en_HK
dc.identifier.epage145en_HK
dc.identifier.isiWOS:000186288200010-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.issnl0167-6687-

Export via OAI-PMH Interface in XML Formats

OR

Export to Other Non-XML Formats