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operational risk sign in to follow this
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under-reporting sign in to follow this
nonparametric smoothing sign in to follow this
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Non-parametric estimation of operational risk losses adjusted for under-reporting
Company: Scandinavian Actuarial Journal
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: January
Resource Link: Click here to open
Pages: 293 - 304
Download Count: 0
View Count: 1731
Comment Num: 0
Language: English
Who Can Read: Free
Date: 4-3-2010
Publisher: Administrator
Summary
Not all claims are reported when a database for financial operational risk is created. The probability of reporting increases with the size of the operational risk loss, and converges towards one for big losses. Losses in operational risk have different causes, and usually follow a wide variety of distributional shapes. Therefore, a method for modelling operational risk based on one or two parametric models is deemed to fail. In this paper, we introduce a semi-parametric method for modelling operational risk that is capable of taking under-reporting into account and being guided by prior knowledge of the distributional shape.
(volume 2007, number 4)
Author(s)
Gustafsson, Jim Sign in to follow this author
Nielsen, Jens P. Sign in to follow this author
Englund, Martin Sign in to follow this author
Buch-Kromann, Tine Sign in to follow this author
Thuring, Fredrik Sign in to follow this author
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