Mitov, Ivan; Rachev, Svetlozar; Fabozzi, Frank - In: Quantitative Finance 10 (2010) 10, pp. 1153-1162
The loss distribution approach is one of the three advanced measurement approaches to the Pillar I modeling proposed by Basel II in 2001. In this paper, one possible approximation of the aggregate and maximum loss distribution in the extremely low frequency/high severity case is given, i.e. the...