Approximation of aggregate and extremal losses within the very heavy tails framework

DOI10.1080/14697681003718414zbMath1201.91233OpenAlexW1970916261MaRDI QIDQ3064016

Frank J. Fabozzi, Ivan K. Mitov, Svetlozar T. Rachev

Publication date: 20 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697681003718414

zbMATH Keywords

Monte Carlo simulationBasel II capital accordloss distribution approachoperational risk modelingapproximating processes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)

Cites Work

• Limit theorems for mixed max-sum processes with renewal stopping
• A functional extremal criterion
• A Method for Simulating Stable Random Variables
• Decomposition for multivariate extremal processes
• Limit theorems for continuous-time random walks with infinite mean waiting times