Calculation of aggregate loss distributions
PV Shevchenko - arxiv preprint arxiv:1008.1108, 2010 - arxiv.org
Estimation of the operational risk capital under the Loss Distribution Approach requires
evaluation of aggregate (compound) loss distributions which is one of the classic problems …
evaluation of aggregate (compound) loss distributions which is one of the classic problems …
[BOK][B] Input modeling with phase-type distributions and Markov models: theory and applications
P Buchholz, J Kriege, I Felko - 2014 - books.google.com
Containing a summary of several recent results on Markov-based input modeling in a
coherent notation, this book introduces and compares algorithms for parameter fitting and …
coherent notation, this book introduces and compares algorithms for parameter fitting and …
[BOK][B] Fundamental aspects of operational risk and insurance analytics: A handbook of operational risk
MG Cruz, GW Peters, PV Shevchenko - 2015 - books.google.com
A one-stop guide for the theories, applications, and statistical methodologies essential to
operational risk Providing a complete overview of operational risk modeling and relevant …
operational risk Providing a complete overview of operational risk modeling and relevant …
[BOK][B] Modelling operational risk using Bayesian inference
PV Shevchenko - 2011 - Springer
The management of operational risk in the banking industry has undergone explosive
changes over the last decade due to substantial changes in the operational environment …
changes over the last decade due to substantial changes in the operational environment …
Modeling cell-to-cell communication networks using response-time distributions
Cell-to-cell communication networks have critical roles in coordinating diverse organismal
processes, such as tissue development or immune cell response. However, compared with …
processes, such as tissue development or immune cell response. However, compared with …
A new class of models for heavy tailed distributions in finance and insurance risk
S Ahn, JHT Kim, V Ramaswami - Insurance: Mathematics and Economics, 2012 - Elsevier
Many insurance loss data are known to be heavy-tailed. In this article we study the class of
Log phase-type (LogPH) distributions as a parametric alternative in fitting heavy tailed data …
Log phase-type (LogPH) distributions as a parametric alternative in fitting heavy tailed data …
Quantifying the hurricane risk to offshore wind turbines
The US Department of Energy has estimated that if the United States is to generate 20% of
its electricity from wind, over 50 GW will be required from shallow offshore turbines …
its electricity from wind, over 50 GW will be required from shallow offshore turbines …
Physical separation, mechanical enrichment and recycling-oriented characterization of spent NiMH batteries
Nickel–metal hydride (NiMH) batteries contain high amount of industrial metals, especially
iron, nickel, cobalt and rare earth elements. Although the battery waste is a considerable …
iron, nickel, cobalt and rare earth elements. Although the battery waste is a considerable …
How should firms manage excessive product use? A continuous-time demand model to test reward schedules, notifications, and time limits
Several industries have recently been criticized by parents, think tanks, and governments for
creating product environments that lead to excessive screen usage. If firms do not properly …
creating product environments that lead to excessive screen usage. If firms do not properly …
Panjer recursion versus FFT for compound distributions
P Embrechts, M Frei - Mathematical methods of operations research, 2009 - Springer
Numerical evaluation of compound distributions is an important task in insurance
mathematics and quantitative risk management. In practice, both recursive methods as well …
mathematics and quantitative risk management. In practice, both recursive methods as well …