Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model

DOI10.3934/JIMO.2021022zbMATH Open1499.62376OpenAlexW3125162156MaRDI QIDQ2076397FDOQ2076397

Authors Yishan Gong, Yang Yang

Publication date 16 February 2022

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2021022

zbMATH Keywords

asymptotic estimatesvalue-at-riskconditional tail expectationbivariate operational risk cell modeltotal aggregate loss

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(5)

• Approximation of aggregate and extremal losses within the very heavy tails framework
• Asymptotics for Operational Risk Quantified with Expected Shortfall
• Theoretical sensitivity analysis for quantitative operational risk management
• Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method
• Multivariate models for operational risk

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