Jim Gustafsson

affiliation not provided to SSRN

SCHOLARLY PAPERS

16

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26

Scholarly Papers (16)

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1.

A Rule of Thumb for the Optimal Number of Runs in Monte Carlo Simulations

Number of pages: 15 Posted: 06 Mar 2009
Jim Gustafsson
affiliation not provided to SSRN
Downloads 1,075 (45,043)
Citation 1

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Monte Carlo simulation, Coefficient of Variation, Known-unknown risk, Operational risk

2.

Quantifying Operational Risk Guided by Kernel Smoothing and Continuous Credibility

Number of pages: 22 Posted: 07 Dec 2004
Jim Gustafsson, Jens Perch Nielsen, Paul Pritchard and Dix Roberts
affiliation not provided to SSRN, City University London - Cass Business School, Royal & SunAlliance and Royal & SunAlliance
Downloads 873 (60,186)
Citation 6

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Operational risk, credibility theory, kernel smoothing, extreme value theory

3.

A Mixing Model for Operational Risk

Number of pages: 18 Posted: 06 Feb 2008 Last Revised: 01 Jul 2008
Jim Gustafsson and Jens Perch Nielsen
affiliation not provided to SSRN and City University London - Cass Business School
Downloads 803 (67,395)

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Mixing data sources, Prior knowledge, Operational risk, Actuarial loss models, Transformation, Generalized Champernowne distribution, Sparse data

4.

Using External Data in Operational Risk

Number of pages: 15 Posted: 20 Dec 2005
Jim Gustafsson, Montserrat Guillen, Jens Perch Nielsen and Paul Pritchard
affiliation not provided to SSRN, affiliation not provided to SSRN, City University London - Cass Business School and Royal & SunAlliance
Downloads 721 (77,690)
Citation 2

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Operational Risk, Under-Reporting Function, Loss Data, Capital Requirements

5.

Sound Practices for the Management of Operational Risk

Number of pages: 23 Posted: 24 Jun 2008
Jim Gustafsson
affiliation not provided to SSRN
Downloads 492 (125,741)

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Operational Risk Management, Solvency II, Traditional Project Management, Adaptive Project Framework, Xtreme Project Management

6.

A Suitable Parametric Model For Operational Risk Applications

Number of pages: 22 Posted: 24 Aug 2006 Last Revised: 21 Feb 2009
Fredrik Thuring and Jim Gustafsson
Cass Business School, City University London and RSA-Scandinavia and affiliation not provided to SSRN
Downloads 491 (126,051)
Citation 2

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Generalized Champernowne Distribution, Heavy Tail, Loss Distribution analysis, Operational Risk

7.

Nonparametric Estimation of Operational Risk Losses Adjusted for Underreporting

Number of pages: 15 Posted: 12 Nov 2006
Martin Englund, Jim Gustafsson, Tine Buch-Kromann, Jens Perch Nielsen and Fredrik Thuring
Codan Insurance, affiliation not provided to SSRN, Royal & SunAlliance, City University London - Cass Business School and Cass Business School, City University London and RSA-Scandinavia
Downloads 455 (138,209)

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8.

Quantifying Operational Risk Guided by Kernel Smoothing and Continuous Credibility: A Practitioners View

Number of pages: 15 Posted: 08 Feb 2006
Jim Gustafsson, Jens Perch Nielsen, Paul Pritchard and Dix Roberts
affiliation not provided to SSRN, City University London - Cass Business School, Royal & SunAlliance and Royal & SunAlliance
Downloads 424 (150,036)
Citation 2

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practitioners view, operational risk, credibility theory, kernel smoothing, extreme value theory

9.

Local Transformation Kernel Density Estimation of Loss Distributions

Swiss Finance Institute Research Paper No. 32
Number of pages: 37 Posted: 26 Nov 2006 Last Revised: 17 Jul 2008
Jim Gustafsson, Matthias Hagmann-von Arx, O. Scaillet and Jens Perch Nielsen
affiliation not provided to SSRN, University of Lausanne - Institute of Banking & Finance (IBF), Swiss Finance Institute - University of Geneva and City University London - Cass Business School
Downloads 409 (156,359)
Citation 2

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Actuarial loss models, Transformation, Champernowne distribution, asymmetric kernels, local likelihood estimation

10.

Combining Underreported Internal and External Data for Operational Risk Measurement

Number of pages: 32 Posted: 21 Oct 2008 Last Revised: 30 Nov 2008
Montserrat Guillen, Jim Gustafsson and Jens Perch Nielsen
affiliation not provided to SSRN, affiliation not provided to SSRN and City University London - Cass Business School
Downloads 320 (204,999)
Citation 3

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Operational Risk, Mixing Model, Underreporting

11.

Modelling Operational Risk Severities with Kernel Density Estimation Using the Champernowne Transformation

Number of pages: 47 Posted: 14 Feb 2006
Jim Gustafsson
affiliation not provided to SSRN
Downloads 300 (219,761)
Citation 2

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kernel density estimation, asymptotic theory, bandwidth selection, operational risk

12.

Multidimensional Credibility With Time Effects - An Application to Commercial Business Lines

Number of pages: 11 Posted: 09 Aug 2006 Last Revised: 07 Aug 2008
Martin Englund, Jim Gustafsson, Jens Perch Nielsen and Fredrik Thuring
Codan Insurance, affiliation not provided to SSRN, City University London - Cass Business School and Cass Business School, City University London and RSA-Scandinavia
Downloads 227 (291,387)

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Experience rating, credibility theory, multidimensional Býhlmann-Straub, evolutionary models

13.

A Mixing Severity Model Incorporating Three Sources of Data for Operational Risk Quantification

Number of pages: 22 Posted: 23 Jun 2008
Jim Gustafsson
affiliation not provided to SSRN
Downloads 220 (300,323)
Citation 1

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Operational risk, Mixing data sources, Actuarial loss models, Transformation, Multiplicative bias reduction, Pre- and Post insurance Loss Distribution

14.

A Strategic Decision-Making Model Executing the Use Test Under Solvency II

Number of pages: 22 Posted: 29 May 2011
Jim Gustafsson
affiliation not provided to SSRN
Downloads 185 (353,222)
Citation 1

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Solvency II, use test, strategic decision-making model, internal model, premium reserve, capital reserve, capital allocation

15.

Multivariate Latent Risk: A Credibility Approach

Number of pages: 10 Posted: 27 Dec 2005 Last Revised: 05 Feb 2008
Martin Englund, Montserrat Guillen, Jim Gustafsson, Lars Hougaard Hansen and Jens Perch Nielsen
Codan Insurance, affiliation not provided to SSRN, affiliation not provided to SSRN, Codan and City University London - Cass Business School
Downloads 184 (354,947)
Citation 4

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Bonus-Malus System, Multivariate Credibility, Time-dependent

16.

Rule of Thumb for Optimal Number of Runs in Monte Carlo Simulations

The IUP Journal of Risk & Insurance, Vol. VIII, No. 3, pp. 37-50, July 2011
Posted: 17 May 2012
Jim Gustafsson
affiliation not provided to SSRN

Abstract:

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