Browsing Research Output by Author "De Waal, B."
Now showing items 1-2 of 2
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Stochastic control of credit default insurance for subprime residential mortgage-backed securities
Petersen, M.A.; Mukuddem-Petersen, J.; Schoeman, I.M.; De Waal, B.; Mulaudzi, M.P. (Wiley, 2012)Subprime residential mortgage securitization and its associated risks have been a major topic of discussion since the onset of the mortgage crisis in July 2007. In this paper, we provide a stochastic dynamic model for ... -
Subprime risk and insurance with regret
Petersen, M.A.; Mukuddem-Petersen, J.; Mulaudzi, M.P.; De Waal, B.; Schoeman, I.M. (Hindawi, 2010)This paper investigates some of the risk and insurance issues related to the subprime mortgage crisis. The discussion takes place in a discrete-time framework with a subprime investing bank being considered to be regret ...