Paul Larsen

Allianz SE

Königinstrasse 28

Munich, 80802

Germany

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Operational Risk Models and Asymptotic Normality of Maximum Likelihood Estimation

Journal of Operational Risk, Vol. 11, No. 4, 2016
Number of pages: 24 Posted: 23 Nov 2016
Paul Larsen
Allianz SE
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Abstract:

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asymptotic normality, heavy-tailed distributions, maximum likelihood estimation (MLE), operational risk models, loss distribution approach (LDA)