Implementing loss distribution approach for operational risk
From MaRDI portal
Publication:3103153
DOI10.1002/ASMB.812zbMath1226.91080arXiv0904.1805OpenAlexW2952822038MaRDI QIDQ3103153
Publication date: 26 November 2011
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0904.1805
Related Items (5)
Bayesian model choice of grouped \(t\)-copula ⋮ Bayesian estimation of truncated data with applications to operational risk measurement ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses? ⋮ Copula approaches for modeling cross-sectional dependence of data breach losses
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bayesian copulae distributions, with application to operational risk management
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- Panjer recursion versus FFT for compound distributions
- A generalization of Panjer's recursion and numerically stable risk aggregation
- A course in credibility theory and its applications
- Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models
- Efficient And Precise Computation Of Convolutions: Applying Fft To Heavy Tailed Distributions
- An Extension of Panjer's Recursion
- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- Operational Risk
- The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
- Solvency
- Application of Coherent Risk Measures to Capital Requirements in Insurance
This page was built for publication: Implementing loss distribution approach for operational risk
