Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation

17 February 2011

Papers citing "Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation"

3 / 3 papers shown

Title
Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses? G. Peters Aaron D. Byrnes P. Shevchenko OffRL 65 23 0 21 Oct 2010
Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation G. Peters B. Kannan B. Lasscock C. Mellen S. Godsill 92 14 0 01 Aug 2010
Likelihood-free Bayesian inference for alpha-stable models G. Peters Scott A. Sisson Yanan Fan 85 65 0 23 Dec 2009