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 journalArticle

Original languageEnglish
Pages (from-to)29-58
JournalJournal of Operational Risk
Volume2
Issue number3
DOIs
Publication statusPublished - 2007

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