The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

DOI10.2143/AST.37.2.2024067zbMath1154.62077MaRDI QIDQ5505900

Matthias Degen, Dominik D. Lambrigger, Paul Embrechts

Publication date: 28 January 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.37.2.2024067

zbMATH Keywords

extreme value theory; value-at-risk; subadditivity; Hill estimator; LDA; operational risk; peaks over threshold; second order regular variation

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62P05: Applications of statistics to actuarial sciences and financial mathematics

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Cites Work

• A course in credibility theory and its applications
• A Diagnostic for Selecting the Threshold in Extreme Value Analysis
• The Inverse of the Cumulative Standard Normal Probability Function
• Statistics of Extremes
• Operational Risk
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