【摘 要】
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In this paper, we consider a newLoss-Distribution-Approachmodel, inwhich the over-dispersed operational risks are modeled by the compound negative binomial
【机 构】
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Engineering College of Armed Police Force
【出 处】
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The Third IMS-China International Conference on Statistics a
论文部分内容阅读
In this paper, we consider a newLoss-Distribution-Approachmodel, inwhich the over-dispersed operational risks are modeled by the compound negative binomial process.In the one-dimensional case, asymptotic expansion for the quantile of compound negative binomial process is explored for computing the capital charge of a bank for operational risk.Moreover, when the dependence structure between different risk cells is modeled by the Frank copula, this approach is extended to the multivariate case.In the final, a practical example is given to demonstrate the effectiveness of approximation results.
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