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

Insurance: Mathematics and Economics

Volumn 49, Issue 3, 2011, Pages 565-579

  Peters, Gareth W ^a,b   Shevchenko, Pavel V ^a,b   Young, Mark ^c   Yip, Wendy ^c  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b CSIRO   (Australia)

^c Aon Risk Services   (Australia)

Author keywords

Stable; Basel II; Doubly stochastic Poisson process; Loss distributional approach; Operational risk; Solvency II

Indexed keywords

EID: 80053602430     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2011.08.007     Document Type: Article

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