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20092024
most citedChain ladder method: Bayesian bootstrap versus classical bootstrap

38 citations · 118 across the 15 of their papers we have counts for

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Showing 2011 · q-fin.RMShow all

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q-fin.RM2011★ 1 cited

Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation

Gareth W. Peters, Pavel Shevchenko, Mark Young +1

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital…