Provisioning against borrowers default risk
type: Item
instance of: scholarly article
title: Provisioning against borrowers default risk
zbMATH Open document ID: 1348.91177
author: Geoffrey Nichil
author: Pierre Vallois
published in: Insurance Mathematics \& Economics
publication date: 2016-01-05T00:00:00Z
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6526554
zbMATH Keywords: borrower default risk
zbMATH Keywords: individual stochastic provisioning
zbMATH Keywords: Poisson point process
zbMATH Keywords: geometric Brownian motion
zbMATH Keywords: time of default
zbMATH Keywords: quantile
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2015.10.004
OpenAlex ID: W1867149090
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DOI: 10.1016/J.INSMATHECO.2015.10.004
description: scientific article; zbMATH DE number 6526554