Multivariate operational risk: dependence modelling with Lévy copulas

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Böcker, K. and Klüppelberg, C.;
  • Publisher: Society of Actuaries, Casualty of Actuaries, and Canandian Insitute of Actuaries Society of Actuaries.
  • Subject: Mathematik
    • ddc: ddc:510

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 ... View more
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