Gong Lan

University of Toronto

Toronto, Ontario M5S 3G8

Canada

SCHOLARLY PAPERS

2

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256

CITATIONS

2

Scholarly Papers (2)

Modeling Correlated Frequencies with Application in Operational Risk Management

Journal of Operational Risk, Vol. 10, No. 1, p. 1-43, 2015
Number of pages: 44 Posted: 27 Dec 2015
University of Toronto - Department of Statistics, University of Toronto, Department of Statistical Sciences, University of Toronto and University of Toronto
Downloads 189 (157,900)

Abstract:

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advanced measurement approach, Erlang-based mixture model, EM algorithm, operational risk management, value at risk

Modeling Correlated Frequencies with Application in Operational Risk Management

Journal of Operational Risk, Vol. 10, No. 1, 2015
Number of pages: 44 Posted: 30 Jun 2016
University of Toronto - Department of Statistics, University of Toronto, Department of Statistical Sciences, University of Toronto and University of Toronto
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Citation 4
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advanced measurement approach, correlated frequency, Erlang-based mixture model, EM algorithm, operational risk management, value at risk

2.

Fitting Mixtures of Erlangs to Censored and Truncated Data Using the EM Algorithm

ASTIN Bulletin, 2015, 45(3), 729-758.
Number of pages: 28 Posted: 21 Jan 2014 Last Revised: 17 May 2017
KU Leuven, University of Toronto, KU LeuvenUniversity of Amsterdam, University of Toronto - Department of Statistics and Department of Statistical Sciences, University of Toronto
Downloads 67 (333,034)
Citation 5

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Mixture of Erlang distributions with a common scale parameter; Censoring; Truncation; Expectation-maximization algorithm; Maximum likelihood