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The author investigates the Cramer –Lundberg model, collecting the most interesting theorems and methods, which estimate probability of default for a company of insurance business. These offer different kinds of approximate values for probability of default on the base of normal and diffusion approach and some special asymptotic.
Cramer-Lundberg Model and Its Variants
Risk and Insurance
Credit-Risk Modelling
Theory of Financial Risk and Derivative Pricing
Semi-Markov Migration Models for Credit Risk
Measure, Probability, and Mathematical Finance
Risk Analysis in Finance and Insurance
Stochastic Processes and Financial Mathematics
Probability Metrics Approach to Financial Risk Measures
Introduction to Stochastic Finance
Multivariate Claim Count Model for Applications in Insurance
Monte Carlo Methods and Models in Finance and Insurance