@MASTERSTHESIS\{IMM2004-03295,
    author       = "S. Spliid",
    title        = "Model Based Risk Management Tools for Euler Hermes Credit Insurance - Control Charts, Transition Matrices, and Loss Distributions",
    year         = "2004",
    school       = "Informatics and Mathematical Modelling, Technical University of Denmark, {DTU}",
    address      = "Richard Petersens Plads, Building 321, {DK-}2800 Kgs. Lyngby",
    type         = "",
    note         = "This thesis is not public available. Supervised by Assoc. Prof. Poul Thyregod",
    url          = "http://www2.compute.dtu.dk/pubdb/pubs/3295-full.html",
    abstract     = "This project evaluates the model based risk management tools: control charts, transition matrices and loss distributions.

A description of Euler Hermes is given to establish the relevance of model based risk management tools for the company. The description identifies areas of Euler Hermes  business where the tools can assist in reducing losses and point out possible earnings.

Data from Euler Hermes  internal database are used to illustrate what the tools might provide for the company. The possibility of monitoring the whole risk portfolios, specific risks, and the general market is demonstrated. The stability of the grading used by Euler Hermes to evaluate their risks is investigated and Euler Hermes  expected loss for the next twelve month is estimated.

A variety of relevant issues for Euler Hermes such as data accessibility, which they should pay extra attention to when initiating a development and implementation of the model based risk management tools are examined, and suggestions as how to address these issues are provided.

In Danish:

Projektet omhandler en evaluering af modelbaserede v{\ae}rkt{\o}jer til risikostyring. De behandlede v{\ae}rkt{\o}jer er kontrolkort, transitionsmatricer og tabsfordelinger.

Euler Hermes bliver beskrevet, s{\aa} det kan vurderes, om model baserede v{\ae}rkt{\o}jer til risikostyring er relevante for firmaet. Ved hj{\ae}lp af beskrivelsen identificeres forskellige omr{\aa}der, hvor v{\ae}rkt{\o}jerne kan reducere Euler Hermes  omkostninger og sandsynligg{\o}re en gevinst.

Der er anvendt data fra Euler Hermes  interne database til at illustrere, hvad v{\ae}rkt{\o}jerne kan tilf{\o}re firmaet. Muligheden for bedre at monitere hele portef{\o}ljen af risici, specifikke risici og markedsudviklingen bliver belyst. Stabiliteten af den gradering, som Euler Hermes bruger til at bed{\o}mme deres risici med vurderes. Derudover estimeres og behandles det tab, som Euler Hermes kan forvente at lide inden for de n{\ae}ste tolv m{\aa}neder.

Det unders{\o}ges, en r{\ae}kke forhold, der er s{\ae}rligt relevante for Euler Hermes, eksempelvis datatilg{\ae}ngelighed, og som man b{\o}r v{\ae}re opm{\ae}rksom p{\aa} n{\aa}r man p{\aa}begynder udviklingen og implementeringen af de modelbaserede risikostyringsv{\ae}rkt{\o}jer. Der opstilles forslag til, hvorledes disse forhold kan h{\aa}ndteres."
}