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Sources of uncertainty in modeling operational risk losses
9 references·0 citing·37 second hop
Sources of uncertainty in modeling operational risk losses (2006)Sources of uncertainty in modeling operat…Composite Goodness-of-Fit Tests for Left-Truncated Loss Samples (2014)Composite Goodness-of-Fit Tes…Infinite-mean models and the LDA for operational risk (2006)Infinite-mean models and the …Operational VaR: a closed-form approximation (2005)Operational VaR: a closed-for…Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Estimating the tail-dependenc…QUANTIFYING REGULATORY CAPITAL FOR OPERATIONAL RISK (2003)QUANTIFYING REGULATORY CAPITA…Loss Models: From Data to Decisions (1999)Loss Models: From Data to Dec…Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting (1999)Computation of Compound Distr…S.A. Klugman, H.H. Panjer and G.E. Willmot (1998): Loss Models: From Data to Decisions. Wiley, New York. (1998)S.A. Klugman, H.H. Panjer and…The Peaks over Thresholds Method for Estimating High Quantiles of Loss Distributions (1997)The Peaks over Thresholds Met…Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Applying robust methods to operational risk modeling (2006)Risk capital allocation for RORAC optimization (2011)On the aggregation of credit, market and operational risks (2013)Residual Life Time at Great Age (1974)Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database (2003)Capital and Risk: New Evidence on Implications of Large Operational Losses (2005)Price risk in the NYMEX energy complex: An extreme value approach (2005)An Introduction to Copulas (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Multivariate non-normally distributed random variables in climate research – introduction to the copula approach (2008)Copula Methods for Forecasting Multivariate Time Series (2013)Crash Sensitivity and Cross-Section of Expected Stock Returns (2016)Applied Probability and Queues (1987)Aspects of Risk Theory (1991)Modelling Extremal Events (1997)Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation (2000)Ruin theory revisited: stochastic models for operational risk (2002)Loss Distributions (1984)Optimal Insurance With Divergent Beliefs About Insurer Total Default Risk (2003)On optimal dividends: From reflection to refraction (2005)Pricing catastrophe risk bonds: A mixed approximation method (2013)An Introduction to Statistical Modeling of Extreme Values (2001)The limits of diversification when losses may be large (2007)Nondiversification Traps in Catastrophe Insurance Markets (2008)Tail risk of contagious diseases (2020)The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)Operational Risk: A Survey (2007)Calculation of aggregate loss distributions (2010)Multivariate models for operational risk (2010)Understanding Relationships Using Copulas (1998)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Modelling catastrophe claims with left-truncated severity distributions (2006)
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References

  • 1999Loss Models: From Data to Decisions1,232 cited
  • 2005Estimating the tail-dependence coefficient: Properties and pitfalls328 cited
  • 2006Infinite-mean models and the LDA for operational risk195 cited
  • 1998S.A. Klugman, H.H. Panjer and G.E. Willmot (1998): Loss Models: From Data to Decisions. Wiley, New York.124 cited
  • 2003QUANTIFYING REGULATORY CAPITAL FOR OPERATIONAL RISK106 cited
  • 2005Operational VaR: a closed-form approximation100 cited
  • 1997The Peaks over Thresholds Method for Estimating High Quantiles of Loss Distributions95 cited
  • 2014Composite Goodness-of-Fit Tests for Left-Truncated Loss Samples62 cited
  • 1999Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting49 cited

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