pTAS distributions with application to risk management

DOI10.1186/s40488-016-0049-9zbMath1349.62520OpenAlexW2500423890WikidataQ59469354 ScholiaQ59469354MaRDI QIDQ347267

Kevin Jakob, Matthias Fischer

Publication date: 30 November 2016

Published in: Journal of Statistical Distributions and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s40488-016-0049-9

zbMATH Keywords

estimationstable distributionscredit riskoperational riskpositive distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Laplace transform (44A10) Credit risk (91G40)

Uses Software

• R
• CreditRisk+

Cites Work

• Tempered stable distributions and processes
• CreditRisk\(^+\) in the banking industry.
• Characterizations of GIG laws: a survey
• Quantitative Operational Risk Models
• Modelling Cell Generation Times by Using the Tempered Stable Distribution
• Survival models for heterogeneous populations derived from stable distributions
• Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study
• A Generalization of the Gamma Distribution
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