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Statistics and Quantitative Risk Management for Banking and Insurance
Company: Annual Review of Statistics and its Application
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: January
Resource Link: Click here to open
Pages: 493-514
Download Count: 0
View Count: 1800
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 4-11-2014
Publisher: Administrator
Summary
As an emerging field of applied research, quantitative risk management (QRM) poses a lot of challenges for probabilistic and statistical modeling. This review provides a discussion on selected past, current, and possible future areas of research at the intersection of statistics and QRM. Topics treated include the use of risk measures in regulation, including their statistical estimation and aggregation properties. An extensive literature provides the statistically interested reader with an entrance to this exciting field.
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Author(s)
Embrechts, Paul Sign in to follow this author
Hofert, Marius Sign in to follow this author
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