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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …