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  • Approximating the Effects of Parameter Uncertainty on Value at Risk Estimates
    lines and event types according to S = N∑ i=1 Xi (1) where S is the aggregate loss, N is the random ... The level α Value at Risk, VaRα, associated with S is the aggregate loss that is exceded with probability ...

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    • Authors: Jacques Rioux, Steven Major, Donald Erdman
    • Date: Nov 2010
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
    • Topics: Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments