Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model (Q2076397)
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scientific article; zbMATH DE number 7475171
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| English | Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model |
scientific article; zbMATH DE number 7475171 |
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Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model (English)
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16 February 2022
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asymptotic estimates
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bivariate operational risk cell model
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total aggregate loss
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value-at-risk
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conditional tail expectation
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0.798012375831604
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0.7789080739021301
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0.7785400748252869
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0.7734549045562744
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0.7713503241539001
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