38 citations · 104 across the 32 of their papers we have counts for
5 papers · 1 filter
Claims processing and costs under capacity constraints
Filip Lindskog, Mario V. Wüthrich
Random delays between the occurrence of accident events and the corresponding reporting times of insurance claims is a standard feature of insurance data. The time lag between the…
Assessing asset-liability risk with neural networks
Patrick Cheridito, John Ery, Mario V. Wüthrich
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfo…
A "Toy" Model for Operational Risk Quantification using Credibility Theory
Hans Bühlmann, Pavel V. Shevchenko, Mario V. Wüthrich
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches in operational risk, the bank's internal model should make use of the internal data, relevant e…
The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions
Dominik D. Lambrigger, Pavel V. Shevchenko, Mario V. Wüthrich
To quantify an operational risk capital charge under Basel II, many banks adopt a Loss Distribution Approach. Under this approach, quantification of the frequency and severity dist…
Dynamic operational risk: modeling dependence and combining different sources of information
Gareth W. Peters, Pavel V. Shevchenko, Mario V. Wüthrich
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation…