Multivariate operational risk: dependence modelling with Lévy copulas

Title:: Multivariate operational risk: dependence modelling with Lévy copulas
Document type:: Konferenzbeitrag
Author(s):: Böcker, K. and Klüppelberg, C.
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 Decimal Classification:: 510 Mathematik
Book / Congress title:: 2007 ERM Symposium
Publisher:: Society of Actuaries, Casualty of Actuaries, and Canandian Insitute of Actuaries Society of Actuaries.
Year:: 2007
Reviewed:: ja
Language:: en
Semester:: SS 07
Format:: Text
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