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Dokumenttyp:
Masterarbeit
Autor(en):
Jixuan Wang
Titel:
Dependence modelling of operational risk with special focus on multivariate compound Poisson processes
Abstract:
Operational risk measurement has become an important research area for the financial industry in recent years. In order to accurately estimate the required capital reserves as well as to obtain a deeper understanding into this complex risk category, an appropriately specified dependence model for loss incidents attributed to different risk factors and business units is indispensable. Hence the current thesis is dedicated to exploring various proposals for dependence modelling in operational ris...     »
Fachgebiet:
MAT Mathematik
DDC:
510 Mathematik
Betreuer:
Claudia Klüppelberg
Jahr:
2018
Quartal:
2. Quartal
Jahr / Monat:
2018-06
Monat:
Jun
Seiten/Umfang:
165
Sprache:
en
Hochschule / Universität:
Technische Universität München
Fakultät:
Fakultät für Mathematik
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
Eingabe:
25.06.2018
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