Peters, Gareth W. 1978- creator author. Shevchenko, Pavel V. author. text bibliography Electronic books. Electronic books. nju 2015 monographic eng

electronic resource

1 online resource (xxv, 627 pages, 6 unnumbered pages) : illustrations. "A companion book to Fundamental Aspects of Operational Risk Modeling and Insurance Analytics: A Handbook of Operational Risk (2014), this book covers key mathematical and statistical aspects of the quantitative modelling of heavy tailed loss processes in operational risk and insurance settings. This book can add value to the industry by providing clear and detailed coverage of modelling for heavy tailed operational risk losses from both a rigorous mathematical as well as a statistical perspective. Few books cover the range of details provided both the mathematical and statistical features of such models, directly targeting practitioners. The book focuses on providing a sound understanding of how one would mathematically and statistically model, estimate, simulate and validate heavy tailed loss process models in operational risk. Coverage includes advanced topics on risk modelling in high consequence low frequency loss processes. This features splice loss models and motivation for heavy tailed risk processes models. The key aspects of extreme value theory and their development in loss distributional approach modelling is considered. Classification and understanding of different classes of heavy tailed risk process models is discussed, this leads into topics on heavy tailed closed form loss distributional approach models and flexible heavy tailed risk models such as a-stable and tempered stable models. The remainder of the chapters covers advanced topics on risk measures and asymptotics for heavy tailed compound process models. The finishing chapter covers advanced topics including forming links between actuarial compound process recursions and monte carlo numerical solutions for capital and risk measure estimations"-- Gareth W. Peters, Pavel V. Shevchenko. Includes bibliographical references and index. Risk management Operational risk MATHEMATICS / Probability & Statistics / General TECHNOLOGY & ENGINEERING / Industrial Engineering BUSINESS & ECONOMICS / Banks & Banking Operational risk Risk management BUSINESS & ECONOMICS / Industrial Management BUSINESS & ECONOMICS / Management BUSINESS & ECONOMICS / Management Science BUSINESS & ECONOMICS / Organizational Behavior HD61 .P477 2015 658.15/5 MAT029000 TEC009060 BUS004000 Peters, Gareth W., 1978- Hoboken, New Jersey : Wiley, 2015 (DLC) 2014015418 9781118909553 1118909550 9781118909560 1118909569 1118909534 9781118909539 2014026795 http://onlinelibrary.wiley.com/book/10.1002/9781118909560 http://onlinelibrary.wiley.com/book/10.1002/9781118909560 YDXCP 140708 20171024111445.0 ocn910856022 eng