Toronto, Ontario M5S 3G8
University of Toronto
advanced measurement approach, Erlang-based mixture model, EM algorithm, operational risk management, value at risk
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advanced measurement approach, correlated frequency, Erlang-based mixture model, EM algorithm, operational risk management, value at risk
Mixture of Erlang distributions with a common scale parameter; Censoring; Truncation; Expectation-maximization algorithm; Maximum likelihood
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