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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 ris...     »
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
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