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Homeen-gbModeling very large losses. IIThis paper presents a means to estimate very large losses by supposing the event is the result of a succession of factors and estimating the probability of each factor.
https://www.risk.net/journal-of-operational-risk/7955253/modeling-very-large-losses-ii
https://www.risk.net/journal-of-operational-risk/7955253/modeling-very-large-losses-ii
Tue, 22 Nov 2022 16:14:57 +0000 A numerical approach to the risk capital allocation problemThe aim of this paper is to use a model-free, nonparametric approach based on the method of maximum entropy in the mean to solve the capital risk allocation problem.
https://www.risk.net/journal-of-risk/7855986/a-numerical-approach-to-the-risk-capital-allocation-problem
https://www.risk.net/journal-of-risk/7855986/a-numerical-approach-to-the-risk-capital-allocation-problem
Tue, 20 Jul 2021 12:03:02 +0100 Sample dependence of risk premiumsThis paper discusses the framework within which to study how sample dependence is transferred from the data to the premiums via the density.
https://www.risk.net/journal-of-operational-risk/6685796/sample-dependence-of-risk-premiums
https://www.risk.net/journal-of-operational-risk/6685796/sample-dependence-of-risk-premiums
Wed, 29 May 2019 11:35:17 +0100 Modeling very large lossesIn this paper, the author presents a simple probabilistic model for aggregating very large losses into a loss collection.
https://www.risk.net/journal-of-operational-risk/5563531/modeling-very-large-losses
https://www.risk.net/journal-of-operational-risk/5563531/modeling-very-large-losses
Mon, 30 Apr 2018 13:52:55 +0100 A maximum entropy approach to the loss data aggregation problemThis paper examines and compares alternative ways of solving the problem of determining the density of aggregate losses.
https://www.risk.net/journal-of-operational-risk/2450287/a-maximum-entropy-approach-to-the-loss-data-aggregation-problem
https://www.risk.net/journal-of-operational-risk/2450287/a-maximum-entropy-approach-to-the-loss-data-aggregation-problem
Mon, 21 Mar 2016 11:10:00 +0000 Disentangling frequency models
https://www.risk.net/journal-of-operational-risk/2350131/disentangling-frequency-models
https://www.risk.net/journal-of-operational-risk/2350131/disentangling-frequency-models
Mon, 30 Jun 2014 16:31:00 +0100