Analytic loss distributional approach models for operational risk from the -stable doubly stochastic compound processes and implications for capital allocation

Gareth W. Peters; Pavel V. Shevchenko; Mark Young; Wendy Yip

doi:10.1016/j.insmatheco.2011.08.007

Analytic loss distributional approach models for operational risk from the -stable doubly stochastic compound processes and implications for capital allocation

Gareth W. Peters
, Pavel V. Shevchenko
, Mark Young
, Wendy Yip

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	565-579
Journal	Insurance: Mathematics and Economics
Volume	49
Issue number	3
DOIs	https://doi.org/10.1016/j.insmatheco.2011.08.007
Publication status	Published - 1 Nov 2011

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10.1016/j.insmatheco.2011.08.007

Cite this

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title = "Analytic loss distributional approach models for operational risk from the -stable doubly stochastic compound processes and implications for capital allocation",

author = "Peters, \{Gareth W.\} and Shevchenko, \{Pavel V.\} and Mark Young and Wendy Yip",

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volume = "49",

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journal = "Insurance: Mathematics and Economics",

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Analytic loss distributional approach models for operational risk from the -stable doubly stochastic compound processes and implications for capital allocation. / Peters, Gareth W.; Shevchenko, Pavel V.; Young, Mark et al.
In: Insurance: Mathematics and Economics, Vol. 49, No. 3, 01.11.2011, p. 565-579.

Research output: Contribution to journal › Article › peer-review

TY - JOUR

T1 - Analytic loss distributional approach models for operational risk from the -stable doubly stochastic compound processes and implications for capital allocation

AU - Peters, Gareth W.

AU - Shevchenko, Pavel V.

AU - Young, Mark

AU - Yip, Wendy

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DO - 10.1016/j.insmatheco.2011.08.007

M3 - Article

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JO - Insurance: Mathematics and Economics

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