Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method
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Publication:488944
DOI10.1007/s11424-014-1262-6zbMath1309.91145OpenAlexW2107445775MaRDI QIDQ488944
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
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)
Cites Work
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- The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
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