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

MaRDI QIDQ3371554zbMATH OpenFDO

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

Publication date 21 February 2006

zbMATH Keywords

censored dataEM algorithmtruncated dataoperational risk

Mathematics Subject Classification ID

Censored data models (62N01)

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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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