Non-parametric estimation of operational risk losses adjusted for under-reporting

Scandinavian Actuarial Journal

Volumn 2007, Issue 4, 2007, Pages 293-304

  Buch Kromann, Tine ^a   Gustafsson, Jim ^a   Englund, Martin ^b   Perch Nielsen, Jens ^c   Thuring, Fredrik ^d  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b AARHUS SCHOOL OF BUSINESS   (Denmark)

^c CITY UNIVERSITY   (United Kingdom)

^d Royal and SunAlliance   (Denmark)

Author keywords

Non parametric smoothing; Operational risk; Prior knowledge; Semiparametric kernel density estimation; Solvency ii; Tail flattening transformation; Under reporting

Indexed keywords

EID: 78649971028     PISSN: 03461238     EISSN: 16512030     Source Type: Journal    
DOI: 10.1080/03461230701642471     Document Type: Article

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