Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation

DOI10.1016/J.INSMATHECO.2011.08.007zbMath1228.91046arXiv1102.3582OpenAlexW2156207368MaRDI QIDQ654840

Gareth W. Peters, Pavel V. Shevchenko, Mark Young, Wendy Yip

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.3582

zbMATH Keywords

doubly stochastic Poisson processSolvency IIoperational riskBasel II\(\alpha\)-stableloss distributional approach

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Related Items (4)

RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES ⋮ Conditional tail risk measures for the skewed generalised hyperbolic family ⋮ Simple risk measure calculations for sums of positive random variables ⋮ Multivariate Cox Hidden Markov models with an application to operational risk

Uses Software

• BayesDA

Cites Work

• BayesDA
• Likelihood-free Bayesian inference for \(\alpha\)-stable models
• Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?
• Bayesian cointegrated vector autoregression models incorporating \(\alpha\)-stable noise for inter-day price movements via approximate Bayesian computation
• Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models
• A Method for Simulating Stable Random Variables
• Modelling of extremal events in insurance and finance
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation