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

doi:10.21314/JOP.2007.031

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

Original language	English
Pages (from-to)	29-58
Journal	Journal of Operational Risk
Volume	2
Issue number	3
DOIs	https://doi.org/10.21314/JOP.2007.031
Publication status	Published - 2007

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10.21314/JOP.2007.031

Cite this

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title = "Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation",

author = "Gareth Peters and Johansen, \{Adam M.\} and Arnaud Doucet",

year = "2007",

doi = "10.21314/JOP.2007.031",

language = "English",

volume = "2",

pages = "29--58",

journal = "Journal of Operational Risk",

issn = "1744-6740",

publisher = "Incisive Media Ltd.",

number = "3",

}

TY - JOUR

T1 - Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation

AU - Peters, Gareth

AU - Johansen, Adam M.

AU - Doucet, Arnaud

PY - 2007

Y1 - 2007

U2 - 10.21314/JOP.2007.031

DO - 10.21314/JOP.2007.031

M3 - Article

SN - 1744-6740

VL - 2

SP - 29

EP - 58

JO - Journal of Operational Risk

JF - Journal of Operational Risk

IS - 3

ER -