Operational loss with correlated frequency and severity : an analytical approach
Year of publication: |
June 2016
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Authors: | Stahl, Daniel H. |
Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 11.2016, 2, p. 1-17
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Subject: | Lévy process | correlation | frequency | severity | Fourier inversion | loss distribution | Verlust | Loss | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution |
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