top of page
Rechercher
  • Photo du rédacteurHélène Dufour

Measuring Tail Operational Risk in Univariate and Multivariate Models with Extreme Losses

"This paper considers some univariate and multivariate #operationalrisk#models , in which the #loss severities are modeled by some weakly tail dependent and heavy-tailed positive random variables, and the loss frequency processes are some general counting processes. … The methodology is based on #capitalapproximation within the #baseliii framework (the so-called loss distribution approach)."


18 vues0 commentaire

Posts récents

Voir tout

Climate Risk, Insurance Retreat, and State Response

"Private businesses are making actuarial decisions, assessing that some locations are just too vulnerable to insure. At the same time, this insurance retreat also poses a policy challenge for states a

ความคิดเห็น


bottom of page