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Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Mitic, Peter; Hu, Jiaqi - In: The journal of operational risk 14 (2019) 4, pp. 1-42
Persistent link: https://www.econbiz.de/10012157425
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Shapley allocation, diversification and services in operational risk
Mitic, Peter; Hassani, Bertrand - In: The journal of operational risk 13 (2018) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011848894
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A dynamic equivalence principle for systematic longevity risk management
Hanbali, Hamza; Denuit, Michel; Dhaene, Jan; Trufin, Julien - In: Insurance / Mathematics & economics 86 (2019), pp. 158-167
Persistent link: https://www.econbiz.de/10012058854
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Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
Denuit, Michel; Robert, Christian Yann - In: Insurance / Mathematics & economics 112 (2023), pp. 23-32
Persistent link: https://www.econbiz.de/10014446652
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From risk reduction to risk elimination by conditional mean risk sharing of independent losses
Denuit, Michel; Robert, Christian Yann - In: Insurance / Mathematics & economics 108 (2023), pp. 46-59
Persistent link: https://www.econbiz.de/10013534509
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Credible value-at-risk
Mitic, Peter - In: The journal of operational risk 18 (2023) 4, pp. 33-70
Persistent link: https://www.econbiz.de/10014490183
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Correlations in operational risk stress testing : use and abuse
Mitic, Peter - In: The journal of operational risk 17 (2022) 2, pp. 1-39
Persistent link: https://www.econbiz.de/10014546262