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Document type:
Masterarbeit 
Author(s):
Jixuan Wang 
Title:
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 ri...    »
 
Subject:
MAT Mathematik 
DDC:
510 Mathematik 
Advisor:
Claudia Klüppelberg 
Year:
2018 
Quarter:
2. Quartal 
Year / month:
2018-06 
Month:
Jun 
Pages:
165 
Language:
en 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text 
ingested:
25.06.2018