Bayesian estimation of truncated data with applications to operational risk measurement
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Publication:5245354
DOI10.1080/14697688.2012.752103zbMath1308.91195MaRDI QIDQ5245354
Frank J. Fabozzi, Rosella Giacometti, Ann H. Tucker, Xiao-Ping Zhou
Publication date: 8 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.752103
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62F15: Bayesian inference
Cites Work
- Penalized likelihood estimators for truncated data
- The formal definition of reference priors
- A Bayesian approach to estimate the marginal loss distributions in operational risk management
- On the invariance of noninformative priors
- (Non-)robustness of maximum likelihood estimators for operational risk severity distributions
- Implementing loss distribution approach for operational risk
- Bias reduction of maximum likelihood estimates