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- 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 Lévy copulas for dependence modelling yields simple approximations of high quality for multivariate operational VAR.
- Dewey-Dezimalklassifikation:
- 510 Mathematik
- 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
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