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

DOI10.1080/03461230701642471zbMath1164.91026OpenAlexW3121282104MaRDI QIDQ3608230

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

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

zbMATH Keywords

prior knowledgeSolvency IIoperational riskunder-reportingnon-parametric smoothingsemi-parametric kernel density estimationtail flattening transformation

Mathematics Subject Classification ID

Related Items

Multivariate density estimation using dimension reducing information and tail flattening transformations for truncated or censored data ⋮ Multivariate density estimation using dimension reducing information and tail flattening trans\-formations ⋮ Multivariate Cox Hidden Markov models with an application to operational risk

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