Wendy Yip

affiliation not provided to SSRN

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Scholarly Papers (1)

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Analytic Loss Distributional Approach Models for Operational Risk from the Α-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation

Number of pages: 29 Posted: 05 Jun 2017
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, affiliation not provided to SSRN and affiliation not provided to SSRN
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Abstract:

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Operational Risk, Loss Distributional Approach, Doubly stochastic Poisson Process, α-Stable, Basel II, Solvency II