Approximation of aggregate and extremal losses within the very heavy tails framework (Q3064016)
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scientific article; zbMATH DE number 5827876
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| English | Approximation of aggregate and extremal losses within the very heavy tails framework |
scientific article; zbMATH DE number 5827876 |
Statements
Approximation of aggregate and extremal losses within the very heavy tails framework (English)
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20 December 2010
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operational risk modeling
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loss distribution approach
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Basel II capital accord
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approximating processes
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Monte Carlo simulation
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0.7739736437797546
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0.7649195790290833
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0.7639495730400085
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0.7598099708557129
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