A new algorithm for the loss distribution function with applications to Operational Risk Management
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Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00384398v2
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- Dominique Guegan & Bertrand Hassani, 2009. "A new algorithm for the loss distribution function with applications to Operational Risk Management," Documents de travail du Centre d'Economie de la Sorbonne 09023, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
References listed on IDEAS
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- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- Grübel, Rudolf & Hermesmeier, Renate, 1999. "Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting," ASTIN Bulletin, Cambridge University Press, vol. 29(2), pages 197-214, November.
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More about this item
Keywords
convolution; Risques opérationnels; algorithme de Panjer; intégration numérique; Operational risk; Panjer algorithm; Kernel; numerical integration; convolution.;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2009-12-11 (Banking)
- NEP-CMP-2009-05-23 (Computational Economics)
- NEP-RMG-2009-12-11 (Risk Management)
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