Hostname: page-component-78c5997874-dh8gc Total loading time: 0 Render date: 2024-11-20T00:52:44.512Z Has data issue: false hasContentIssue false
  • English
  • Français

Modelling Extreme Market Events. A Report of the Benchmarking Stochastic Models Working Party. Abstract of the Discussion Held by the Faculty of Actuaries

Published online by Cambridge University Press:  12 December 2011

R. Frankland ,
A. D. Smith ,
T. Wilkins ,
E. Varnell ,
A. Holtham ,
E. Biffis ,
S. Eshun  and
D. Dullaway
Get access Rights & Permissions [Opens in a new window]

Abstract

An abstract is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.
Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 15 , Issue 2 , July 2009 , pp. 275 - 293
Copyright
Copyright © Institute and Faculty of Actuaries 2009

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Hogg, R.V., & Klugman, S.A., (1984). Loss Distributions, Wiley, New York.CrossRefGoogle Scholar
Clarkson, R.S.,(1991). A non-linear stochastic model for inflation. Transactions of the 1st AFIR International Colloquium, Brighton, 3, 233–253.Google Scholar
Mandelbrot, B.B., & Hudson, R.L., (2005). The (Mis)behaviour of Markets: A fractal view of risk, ruin and reward. Profile Books, ISBN 1861977905.Google Scholar