A note on the estimation of the frequency and severity distribution of operational losses

zbMATH Open1127.91351MaRDI QIDQ3371554FDOQ3371554

Authors: A. Chernobal, Christian Menn, Stefan Trück, Svetlozar T. Rachev 

Publication date: 21 February 2006

Recommendations

• Implementing loss distribution approach for operational risk
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• A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS
• A Bayesian approach to estimate the marginal loss distributions in operational risk management
• Bayesian estimation of truncated data with applications to operational risk measurement

zbMATH Keywords

censored dataEM algorithmtruncated dataoperational risk

Mathematics Subject Classification ID

Censored data models (62N01)

Cited In (6)

• Bayesian estimation of truncated data with applications to operational risk measurement
• Measuring of inferred loss rate with application to capital adequacy
• A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
• Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation
• Modelling catastrophe claims with left-truncated severity distributions
• Approximation of aggregate and extremal losses within the very heavy tails framework

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