A bridge from ruin theory to credit risk

Cho-Jieh Chen () and Harry Panjer ()

Review of Quantitative Finance and Accounting, 2009, vol. 32, issue 4, 373-403

Keywords: Credit risk; Ruin theory; Jump-diffusion process; Structural model; Reduced-form model; G12; G13; G32; G33 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s11156-008-0100-0

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