MODELLING EXTREME MARKET EVENTS A REPORT OF THE BENCHMARKING STOCHASTIC MODELS WORKING PARTY

Author: Frankland R.   Smith A.D.   Wilkins T.   Varnell E.   Holtham A.   Biffis E.   Eshun S.   Dullaway D.  

Publisher: Faculty of Actuaries and Institute of Actuaries

ISSN: 1357-3217

Source: British Actuarial Journal, Vol.15, Iss.1, 2009-01, pp. : 99-217

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Abstract