Original language | English |
---|---|
Pages (from-to) | 29-58 |
Journal | Journal of Operational Risk |
Volume | 2 |
Issue number | 3 |
DOIs | |
Publication status | Published - 2007 |
Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation
Gareth Peters, Adam M. Johansen, Arnaud Doucet
Research output: Contribution to journal › Article › peer-review