Erratum to: Bayesian Copulae Distributions, with Application to Operational Risk Management
نویسندگان
چکیده
منابع مشابه
Aggregating Risk Capital, with an Application to Operational Risk
We describe a numerical procedure to obtain bounds on the distribution function of a sum of n dependent risks having fixed marginals. With respect to the existing literature, our method provides improved bounds and can be applied also to large non-homogeneous portfolios of risks. As an application, we compute the VaR-based minimum capital requirement for a portfolio of operational risk losses.
متن کاملa new type-ii fuzzy logic based controller for non-linear dynamical systems with application to 3-psp parallel robot
abstract type-ii fuzzy logic has shown its superiority over traditional fuzzy logic when dealing with uncertainty. type-ii fuzzy logic controllers are however newer and more promising approaches that have been recently applied to various fields due to their significant contribution especially when the noise (as an important instance of uncertainty) emerges. during the design of type- i fuz...
15 صفحه اولErratum to: Application of queuing theory in inventory systems with substitution flexibility
Due to a processing error, the order of authors was incorrect. The correct order of authors is given below. 1. S. M. Seyedhoseini 2. Reza Rashid 3. Erfan Zangeneh 4. Iman Kamalpour
متن کاملImportance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk
In this paper we use Importance Sampling to estimate tail probabilities for a finite sum of lognormal distributions. We use a defensive mixture, and develop a method of choosing the parameters via the EM algorithm; we also consider the technique which assumes the importance sampling density to belong to the same parametric family of the random variables to be summed. In both cases, the instrume...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Methodology and Computing in Applied Probability
سال: 2011
ISSN: 1387-5841,1573-7713
DOI: 10.1007/s11009-011-9222-2