pTAS distributions with application to risk management

DOI10.1186/S40488-016-0049-9MaRDI QIDQ347267zbMATH OpenOpenAlexWikidataFDO

Authors Matthias Fischer, Kevin Jakob

Publication date 30 November 2016

Published in Journal of Statistical Distributions and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s40488-016-0049-9

zbMATH Keywords

estimationstable distributionscredit riskoperational riskpositive distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Laplace transform (44A10)

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Cites work

• scientific article; zbMATH DE number 4082773 (Why is no real title available?)
• scientific article; zbMATH DE number 3005430 (Why is no real title available?)
• scientific article; zbMATH DE number 1391236 (Why is no real title available?)
• scientific article; zbMATH DE number 1424149 (Why is no real title available?)
• A Generalization of the Gamma Distribution
• Characterizations of GIG laws: a survey
• CreditRisk\(^+\) in the banking industry.
• Modelling Cell Generation Times by Using the Tempered Stable Distribution
• Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
• Quantitative Operational Risk Models
• Survival models for heterogeneous populations derived from stable distributions
• Tempered stable distributions and processes

Describes a project that uses

Uses Software

• R
• CreditRisk+

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