Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method
DOI10.1007/S11424-014-1262-6zbMATH Open1309.91145OpenAlexW2107445775MaRDI QIDQ488944FDOQ488944
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
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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
- Financial Modelling with Jump Processes
- An introduction to copulas. Properties and applications
- Generalized Poisson Models and their Applications in Insurance and Finance
- Title not available (Why is that?)
- Title not available (Why is that?)
- Multivariate models for operational risk
- A Bayesian approach to estimate the marginal loss distributions in operational risk management
- Functional correlation approach to operational risk in banking organizations
- Asymptotics for Operational Risk Quantified with Expected Shortfall
- Bounds for functions of dependent risks
- Modeling the yearly value-at-risk for operational risk in Chinese commercial banks
- Operational Risk
- The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
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