Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation (Q654840)
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scientific article; zbMATH DE number 5991266
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| English | Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation |
scientific article; zbMATH DE number 5991266 |
Statements
Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation (English)
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21 December 2011
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operational risk
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loss distributional approach
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doubly stochastic Poisson process
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\(\alpha\)-stable
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Basel II
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Solvency II
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0.7852429747581482
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0.7834663987159729
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0.7761241793632507
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0.7647775411605835
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0.7567061185836792
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