Comparison results for exchangeable credit risk portfolios

Areski Cousin; Jean-Paul Laurent

doi:10.1016/j.insmatheco.2008.02.005

Journal Articles Insurance: Mathematics and Economics Year : 2008

Comparison results for exchangeable credit risk portfolios

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Areski Cousin

Function : Author
PersonId : 1015663

Institut de Science Financière et d'Assurances

Jean-Paul Laurent

Function : Author
PersonId : 754722
IdHAL : jean-paul-laurent
ORCID : 0000-0001-9463-7464

Institut de Science Financière et d'Assurances

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Pricing of Securities [q-fin.PR] Risk Management [q-fin.RM] Computational Finance [q-fin.CP]

Jean-Paul LAURENT : Connect in order to contact the contributor

https://hal-paris1.archives-ouvertes.fr/hal-03676451

Submitted on : Monday, May 23, 2022-11:50:05 PM

Last modification on : Tuesday, May 24, 2022-3:03:27 AM

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hal-03676451 , version 1 (23-05-2022)

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HAL Id : hal-03676451 , version 1
DOI : 10.1016/j.insmatheco.2008.02.005

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Areski Cousin, Jean-Paul Laurent. Comparison results for exchangeable credit risk portfolios. Insurance: Mathematics and Economics, 2008, 42 (3), pp.1118-1127. ⟨10.1016/j.insmatheco.2008.02.005⟩. ⟨hal-03676451⟩

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Comparison results for exchangeable credit risk portfolios

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