Lévy copulas: review of recent results
P Tankov - The fascination of probability, statistics and their …, 2016 - Springer
We review and extend the now considerable literature on Lévy copulas. First, we focus on
Monte Carlo methods and present a new robust algorithm for the simulation of …
Monte Carlo methods and present a new robust algorithm for the simulation of …
Riesgo operativo: esquema de gestión y modelado de riesgo (Operative risk: a design for risk development and modeling)
JAN Mora, JJC Gudiño - Análisis económico, 2010 - analisiseconomico.azc.uam.mx
El objetivo de este artículo es dar un panorama completo acerca de la medición del riesgo
operativo. Esto implica transitar de los conceptos más generales del riesgo operativo y su …
operativo. Esto implica transitar de los conceptos más generales del riesgo operativo y su …
Risk measurement and management of operational risk in insurance companies from an enterprise perspective
N Gatzert, A Kolb - Journal of risk and insurance, 2014 - Wiley Online Library
Operational risk can substantially impact an insurer's risk situation and is now increasingly in
the focus of insurance companies, especially due to new European risk‐based regulatory …
the focus of insurance companies, especially due to new European risk‐based regulatory …
[PDF][PDF] ÌUNIVERSITY OF TOKYO
T Kato, M Sung - Using UVGI to counter contaminant dispersion. IFHE …, 2011 - Citeseer
Conductor is a numerical invariant of a variety over a local field measuring the wild
ramification of the inertia action on the l-adic etale cohomology. In [3], S. Bloch proposes a …
ramification of the inertia action on the l-adic etale cohomology. In [3], S. Bloch proposes a …
Loss distribution approach for operational risk capital modelling under Basel II: combining different data sources for risk estimation
PV Shevchenko, GW Peters - arXiv preprint arXiv:1306.1882, 2013 - arxiv.org
The management of operational risk in the banking industry has undergone significant
changes over the last decade due to substantial changes in operational risk environment …
changes over the last decade due to substantial changes in operational risk environment …
A multivariate piecing-together approach with an application to operational loss data
S Aulbach, V Bayer, M Falk - 2012 - projecteuclid.org
The univariate piecing-together approach (PT) fits a univariate generalized Pareto
distribution (GPD) to the upper tail of a given distribution function in a continuous manner …
distribution (GPD) to the upper tail of a given distribution function in a continuous manner …
Modelling dependence in insurance claims processes with Lévy copulas
In this paper we investigate the potential of Lévy copulas as a tool for modelling
dependence between compound Poisson processes and their applications in insurance. We …
dependence between compound Poisson processes and their applications in insurance. We …
[HTML][HTML] Construction and sampling of Archimedean and nested Archimedean Lévy copulas
The class of Archimedean Lévy copulas is considered with focus on the construction and
sampling of the corresponding Lévy processes. Furthermore, the class of nested …
sampling of the corresponding Lévy processes. Furthermore, the class of nested …
Understanding operational risk capital approximations: first and second orders
We set the context for capital approximation within the framework of the Basel II/III regulatory
capital accords. This is particularly topical as the Basel III accord is shortly due to take effect …
capital accords. This is particularly topical as the Basel III accord is shortly due to take effect …
[图书][B] An introduction to stochastic particle integration methods: With applications to risk and insurance
P Del Moral, GW Peters, C Vergé - 2013 - Springer
This article presents a guided introduction to a general class of interacting particle methods
and explains throughout how such methods may be adapted to solve general classes of …
and explains throughout how such methods may be adapted to solve general classes of …