Operational Risk
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- Quantitative modeling of operational risk in finance and banking using possibility theory
- Robust quantification of the exposure to operational risk: bringing economic sense to economic capital
- Copula approaches for modeling cross-sectional dependence of data breach losses
- Risk aggregation with dependence uncertainty
- Satisficing credibility for heterogeneous risks
- The truncated g-and-h distribution: estimation and application to loss modeling
- Business analytics for corporate risk management and performance improvement
- Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
- Capital allocation and RORAC optimization under Solvency 2 standard formula
- Analysis of an aggregate loss model in a Markov renewal regime
- Determination of the distribution of total loss from the fractional moments of its exponential
- Probability distributions in risk management operations
- On double-boundary non-crossing probability for a class of compound processes with applications
- Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions
- Two maxentropic approaches to determine the probability density of compound risk losses
- Data breaches: goodness of fit, pricing, and risk measurement
- Loss data analysis: analysis of the sample dependence in density reconstruction by maxentropic methods
- Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?
- Credible risk measures with applications in actuarial sciences and finance
- Actuarial measures, regression, and applications of exponentiated Fréchet loss distribution
- Operational risk modelling and management.
- Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
- Quantitative Operational Risk Models
- Implementing loss distribution approach for operational risk
- Modelling operational risk using Bayesian inference.
- Modeling operational risk: estimation and effects of dependencies
- Backward simulation of multivariate mixed Poisson processes
- Mixture inverse Gaussian distributions and its transformations, moments and applications
- scientific article; zbMATH DE number 5314526 (Why is no real title available?)
- Modeling the yearly value-at-risk for operational risk in Chinese commercial banks
- Fat-tailed regression modeling with spliced distributions
- Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method
- Transport equation on semidiscrete domains and Poisson–Bernoulli processes
- Maxentropic approach to decompound aggregate risk losses
- The extended slash distribution of the sum of two independent logistic random variables
- Nonparametric estimation in random sum models
- The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes
- Quantitative risk management. Concepts, techniques and tools
- Estimation of the lognormal-Pareto distribution using probability weighted moments and maximum likelihood
- Density approximations and VaR computation for compound Poisson-lognormal distributions
- Nonparametric Identification of Copula Structures
- Intensity-based estimation of extreme loss event probability and value at risk
- The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Modeling Catastrophes and their Impact on Insurance Portfolios
- Model Risk Management
- Multi-constrained optimal reinsurance model from the duality perspectives
- The distribution of extended discrete random sums and its application to waiting time distributions
- On the Lagrangian Katz family of distributions as a claim frequency model
- Can we weather proof our insurance?
- Estimation and model selection of heterogeneous mixture distributions: an ECME algorithm-based approach
- The changing landscape of cyber risk: an empirical analysis of loss severity and tail dynamics
- A parsimonious dynamic mixture for heavy-tailed distributions
- Modeling and estimating skewed and heavy-tailed populations via unsupervised mixture models
- A new class of inverse Gaussian type distributions
- Recovery process model
- Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
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