Approximation of aggregate and extremal losses within the very heavy tails framework

DOI10.1080/14697681003718414zbMATH Open1201.91233OpenAlexW1970916261MaRDI QIDQ3064016FDOQ3064016

Authors: Ivan K. Mitov, Frank J. Fabozzi, Svetlozar T. Rachev 

Publication date: 20 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697681003718414

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zbMATH Keywords

Monte Carlo simulationBasel II capital accordloss distribution approachoperational risk modelingapproximating processes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Cites Work

• A Method for Simulating Stable Random Variables
• Limit theorems for mixed max-sum processes with renewal stopping
• Limit theorems for continuous-time random walks with infinite mean waiting times
• Decomposition for multivariate extremal processes
• A functional extremal criterion

Cited In (2)

• Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
• Stochastic projection for large individual losses

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