Ross Griffiths

TD Bank

66 Welington St W

Toronto, ON M5K 1A2

Canada

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Scholarly Papers (1)

Various Approximations of the Total Aggregate Loss Quantile Function with Application to Operational Risk

Journal of Operational Risk, Forthcoming
Number of pages: 24 Posted: 05 Jun 2017
Ross Griffiths and Walid Mnif
TD Bank and TD Bank
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Abstract:

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discrete compound distribution, total aggregate loss, quantile function, analytic approximation, extended Poisson, extended binomial

Various Approximations of the Total Aggregate Loss Quantile Function with Application to Operational Risk

Posted: 15 Feb 2016 Last Revised: 13 Nov 2016
Ross Griffiths and Walid Mnif
TD Bank and TD Bank

Abstract:

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Loss sample, Frequency, Discrete Compound Distribution, Total aggregate loss, Quantile function, Analytic approximation, Extended Poisson, Extended Binomial, Cornish-Fisher, Panjer Recursion, Monte-Carlo simulation, Single Loss Approximation