Asymptotics for Operational Risk Quantified with Expected Shortfall

DOI10.2143/AST.39.2.2044656zbMath1180.91161MaRDI QIDQ3653519

Sascha Ulmer, Francesca Biagini

Publication date: 22 December 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

regular variationexpected shortfalloperational riskLévy copula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70)

Related Items (6)

Lévy Copulas: Review of Recent Results ⋮ THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT ⋮ A multivariate piecing-together approach with an application to operational loss data ⋮ Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method ⋮ Operational risk quantified with spectral risk measures: a refined closed-form approximation ⋮ Construction and sampling of Archimedean and nested Archimedean Lévy copulas

Cites Work

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