کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077232 1374122 2011 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Analytic loss distributional approach models for operational risk from the α-stable doubly stochastic compound processes and implications for capital allocation
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Analytic loss distributional approach models for operational risk from the α-stable doubly stochastic compound processes and implications for capital allocation
چکیده انگلیسی
► We consider Basel II LDA models for Business line/event types. ► A novel class of doubly stochastic alpha-stable family LDA models are derived. ► These models capture heavy tailed loss processes typical of OpRisk. ► These models provide analytic expressions for the compound processes' annual loss density and distributions. ► These models provide analytic expressions for the aggregated compound processes' annual loss models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 49, Issue 3, November 2011, Pages 565-579
نویسندگان
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