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

DOI10.1080/14697681003718414MaRDI QIDQ3064016zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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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