Measuring operational risk using a mean scaled individual risk model

DOI10.1016/S0096-3003(03)00568-XzbMath1089.91036MaRDI QIDQ1826792

Werner Hürlimann

Publication date: 6 August 2004

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

gamma distributionaggregate claimspseudocompound Poisson distribution

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Volterra integral equations (45D05)

Related Items (1)

A characterization of the compound multiparameter Hermite gamma distribution via Gauss's principle

Cites Work

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• On a class of approximative computation methods in the individual risk model
• Differential-geometrical methods in statistics
• Some recent results in infinite divisibility
• An approximation theorem for the Poisson binomial distribution
• The numerical evaluation of the aggregate claim density function via integral equations
• Improved approximations for the aggregate claims distribution of a life insurance portfolio
• On parameter orthogonality to the mean
• On mean scaled insurance risk models
• Economic risk capital allocation from top down

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