Non-parametric estimation of operational risk losses adjusted for under-reporting

DOI10.1080/03461230701642471zbMATH Open1164.91026OpenAlexW3121282104MaRDI QIDQ3608230FDOQ3608230

Authors: Tine Buch-Kromann, Martin Englund, Jim Gustafsson, Jens Perch Nielsen, Frederik Thuring 

Publication date: 28 February 2009

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230701642471

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zbMATH Keywords

prior knowledgeoperational riskSolvency IIunder-reportingnon-parametric smoothingsemi-parametric kernel density estimationtail flattening transformation

Mathematics Subject Classification ID

Cites Work

• Coherent measures of risk
• Title not available (Why is that?)
• Locally parametric nonparametric density estimation
• Transformations in Density Estimation
• Versions of Kernel-Type Regression Estimators
• Nonparametric density estimation with a parametric start
• Kernel density estimation of actuarial loss functions
• Mobius-Like Mappings and Their Use in Kernel Density Estimation
• The Graduation of Income Distributions

Cited In (6)

• Multivariate density estimation using dimension reducing information and tail flattening transformations for truncated or censored data
• Multivariate Cox hidden Markov models with an application to operational risk
• (Non-)robustness of maximum likelihood estimators for operational risk severity distributions
• Multivariate density estimation using dimension reducing information and tail flattening trans\-formations
• Nonparametric estimation of operational value-at-risk (OpVaR)
• Title not available (Why is that?)

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