Stressing dynamic loss models
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DOI: 10.1016/j.insmatheco.2023.11.002
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- Sebastian Jaimungal & Silvana M. Pesenti, 2024. "Kullback-Leibler Barycentre of Stochastic Processes," Papers 2407.04860, arXiv.org.
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More about this item
Keywords
Reverse stress testing; Compound Poisson processes; KL divergence; Value-at-Risk; Conditional Value-at-Risk;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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