20 citations · 59 across the 22 of their papers we have counts for
Showing q-fin.RMShow all
2 papers · 1 filter
q-fin.RM2023★ 1 cited
Probability of Default modelling with Lévy-driven Ornstein-Uhlenbeck processes and applications in credit risk under the IFRS 9
Kyriakos Georgiou, Athanasios N. Yannacopoulos
In this paper we develop a framework for estimating Probability of Default (PD) based on stochastic models governing an appropriate asset value processes. In particular, we build u…
q-fin.RM2022★ 10 cited
Convex Risk Measures for the Aggregation of Multiple Information Sources and Applications in Insurance
Georgios I. Papayiannis, Athanasios N. Yannacopoulos
We propose a novel class of convex risk measures, based on the concept of the Fréchet mean, designed in order to handle uncertainty which arises from multiple information sources r…