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2007 Enterprise Risk Management Symposium: Multivariate Operational Risk: Dependence Modelling with Lévy Copulas
bank’s total operational risk is then given as S+(t) := S1(t) + S2(t) + · · ·+ Sd(t) , t ≥ 0 . (1.2) ... construct a d-dimensional compound Poisson process S = (S1, S2, . . . , Sd) with in general dependent ...- Authors: Klaus Bocker, Claudia Kluppelberg
- Date: Mar 2007
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Operational risks