Paul Larsen

Allianz SE

Königinstrasse 28

Munich, 80802

Germany

SCHOLARLY PAPERS

1

DOWNLOADS

1

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (1)

1.

Maximum Likelihood Estimation Error and Operational Value-at-Risk Stability

Journal of Operational Risk, Vol. 14, No. 1, 2019
Number of pages: 24 Posted: 08 Apr 2019
Paul Larsen
Allianz SE
Downloads 1 (674,430)
  • Add to Cart

Abstract:

Loading...

heavy-tailed distributions, maximum likelihood estimation, model selection, operational risk models, small sample size, subexponential distributions