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2010
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FS 2010
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A generalization of Panjer's recursion and numerically stable risk aggregation
13 years 11 months ago
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www.fam.tuwien.ac.at
Portfolio credit risk models as well as models for operational risk can often be treated analogously to the collective risk model coming from insurance. Applying the classical Panj...
Stefan Gerhold, Uwe Schmock, Richard Warnung
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