Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Numerical evaluation of compound distributions is an important task in insurance mathematics and quantitative risk management. In practice, both recursive methods as well as transform based techniques are widely used. We give a survey of these tools, point out the respective merits and provide...

Numerical evaluation of compound distributions is an important task in insurance mathematics and quantitative risk management. In practice, both recursive methods as well as transform based techniques are widely used. We give a survey of these tools, point out the respective merits and provide...