Various approximations of the total aggregate loss quantile function with application to operational risk
Ross Griffiths and Walid Mnif
| Year of publication: |
June 2017
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|---|---|
| Authors: | Griffiths, Ross ; Mnif, Walid |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 12.2017, 2, p. 23-46
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| Subject: | discrete compound distribution | total aggregate loss | quantile function | analytic approximation | extended Poisson | extended binomial | Statistische Verteilung | Statistical distribution | Operationelles Risiko | Operational risk | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2017.191 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011775504