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Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
the marginal distribution functions are as in Table 2.1. Now, observing that the inverses F−1i (·), ... BR F (x) = Φ [ x−µ σ ] , x ∈ R µ = 0, σ = 4.56 Table 2.1: Marginal distributions for market risk (MR) ...- Authors: Klaus Bocker
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Bayesian methods