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Advances in heavy tailed risk modeling : a handbook of operational risk /
"A companion book to Fundamental Aspects of Operational Risk Modeling and Insurance Analytics: A Handbook of Operational Risk (2014), this book covers key mathematical and statistical aspects of the quantitative modelling of heavy tailed loss processes in operational risk and insurance settings...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
John Wiley & Sons, Inc.,
2014.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Title Page; Copyright; Table of Contents; Dedication; Preface; Acknowledgments; Acronyms; Symbols; List of Distributions; Chapter One: Motivation for Heavy-Tailed Models; 1.1 Structure of the Book; 1.2 Dominance of the Heaviest Tail Risks; 1.3 Empirical Analysis Justifying Heavy-Tailed Loss Models in OpRisk; 1.4 Motivating Parametric, Spliced and Non-Parametric Severity Models; 1.5 Creating Flexible Heavy-Tailed Models via Splicing; Chapter Two: Fundamentals of Extreme Value Theory for OpRisk; 2.1 Introduction; 2.2 Historical Perspective on EVT and Risk.
- 2.3 Theoretical Properties of Univariate EVT-Block Maxima and the GEV Family2.4 Generalized Extreme Value Loss Distributional Approach (GEV-LDA); 2.5 Theoretical Properties of Univariate EVT-Threshold Exceedances; 2.6 Estimation Under the Peaks Over Threshold Approach via the Generalized Pareto Distribution; Chapter Three: Heavy-Tailed Model Class Characterizations for LDA; 3.1 Landau Notations for OpRisk Asymptotics: Big and Little 'Oh'; 3.2 Introduction to the Sub-Exponential Family of Heavy-Tailed Models; 3.3 Introduction to the Regular and Slow Variation Families of Heavy-Tailed Models.
- Chapter Six: Families of Closed-Form Single Risk LDA Models6.1 Motivating the Consideration of Closed-Form Models in LDA Frameworks; 6.2 Formal Characterization of Closed-Form LDA Models: Convolutional Semi-Groups and Doubly Infinitely Divisible Processes; 6.3 Practical Closed-Form Characterization of Families of LDA Models for Light-Tailed Severities; 6.4 Sub-Exponential Families of LDA Models; Chapter Seven: Single Risk Closed-Form Approximations of Asymptotic Tail Behaviour; 7.1 Tail Asymptotics for Partial Sums and Heavy-Tailed Severity Models.