On the Ruin Probability for a Corporation with Credit Rating Migration
This paper constructs a model for a company with credit rating migration. The model includes the states considered by Yang (2003) but also includes the default state. When assuming that the credit ratings follow a time homogenous terminating Markov Chain, we calculate the ruin probability when the interest effect is taken and is not taken into consideration. The recursive formulas are derived and to illustrate the result more clearly, a numerical example is given as well.
Credit Rating Terminating Markov Chain Ruin Probability Recursive Formula
MENG Qingbin ZHOU Aimin WANG Menghai
School of Economics Nankai University, P.R.China, 300071
国际会议
2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)
烟台
英文
1-5
2008-08-14（万方平台首次上网日期，不代表论文的发表时间）