Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method

DOI10.1007/S11424-014-1262-6MaRDI QIDQ488944zbMATHOpenAlexFDO

Authors Zhaoyang Lu

Publication date 27 January 2015

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-014-1262-6

zbMATH Keywords

asymptotic expansionvalue at riskoperational riskmultivariate dependenceover-dispersed

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A Bayesian approach to estimate the marginal loss distributions in operational risk management
• An introduction to copulas. Properties and applications
• Asymptotics for Operational Risk Quantified with Expected Shortfall
• Bounds for functions of dependent risks
• Financial Modelling with Jump Processes
• Functional correlation approach to operational risk in banking organizations
• Generalized Poisson Models and their Applications in Insurance and Finance
• Modeling the yearly value-at-risk for operational risk in Chinese commercial banks
• Multivariate models for operational risk
• Operational Risk
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

Cited in

(2)

• Asymptotics for Operational Risk Quantified with Expected Shortfall
• Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model

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