Articles by Tertius de Wet
A multiplier approach for nonparametric estimation of the extreme quantiles of compound frequency distributions
The authors propose a nonparametric method for estimating extreme quantiles of operational risk reserves by utilizing a lower quantile of the severity distribution.
A simulation comparison of quantile approximation techniques for compound distributions popular in operational risk
The objective of this paper is to compare numerical approximation techniques in terms of their practical usefulness and potential applicability in an operational risk context.