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Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement In this Chapter we present a novel way for estimating aggregated EC figures based on Bayesian copula estimation. Contrary ...- 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
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Modelling and Measuring Business Risk
Modelling and Measuring Business Risk This paper focuses on business risks rather than market, credit and operational risks. The author proposes a bottom-up approach for modelling and measuring ...- Authors: Klaus Bocker
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods