This paper investigates the characteristics of the operational loss data formation mechanism that takes place between …. The first loss that characterizes the initial impact of a new operational risk event frequently triggers a sequence of … of secondary losses is not homogeneous: both are functions of the initial loss amount and time. We model the arrival …

This paper considers a bivariate operational risk cell model, in which the loss severities are modeled by some heavy … Conditional Tail Expectation of the total aggregate loss. Some simulation studies are also conducted to check the accuracy of the …