Evaluating operational risk by an inhomogeneous counting process based on Panjer recursion
Year of publication: |
March 2016
|
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Authors: | Jiménez, José Alfredo ; Arunachalam, Viswanathan |
Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 11.2016, 1, p. 1-21
|
Subject: | Panjer distribution | Pochhammer symbol | operational risk (OpRisk) | loss distribution approach (LDA) | compound random variable | Operationelles Risiko | Operational risk | Statistische Verteilung | Statistical distribution | Theorie | Theory | Risikomaß | Risk measure | Risikomanagement | Risk management | Verlust | Loss |
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