Benutzer: Gast  Login
Dokumenttyp:
Konferenzbeitrag 
Autor(en):
Böcker, K. and Klüppelberg, C. 
Titel:
Multivariate operational risk: dependence modelling with Lévy copulas 
Abstract:
Simultaneous modelling of operational risks occurring in different event type/business line cells poses the challenge for operational risk quantification. Invoking the new concept of L´evy copulas for dependence modelling yields simple approximations of high quality for multivariate operational VAR. 
Kongress- / Buchtitel:
2007 ERM Symposium 
Verlag / Institution:
Society of Actuaries, Casualty of Actuaries, and Canandian Insitute of Actuaries Society of Actuaries. 
Jahr:
2007 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 07 
Format:
Text