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Publications by Alexander J. McNeil

Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling

English

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A Credit Risk Model to Develop the Credit Insurance Market

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Risk Measurement for Portfolio Credit Risk Based on a Mixed Poisson Model

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Preservation of Phase-Type Distributions Under Poisson Shock Models

Advances in Applied Probability

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Structural Credit Risk Models With Subordinated Processes

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Estimating Jump Diffusion Structural Credit Risk Models

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Modeling the Frequency of Auto Insurance Claims by Means of Poisson and Negative Binomial Models

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Severe Loss Probabilities in Portfolio Credit Risk Models

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Positive Externalities of Social Insurance: Unemployment Insurance and Consumer Credit

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Adaptive Risk Consensus Models: Simulations and Applications

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