Operational risks : modeling analytics / Harry H. Panjer.

Author
Panjer, Harry H. [Browse]
Format
Book
Language
English
Published/​Created
Hoboken, N.J. : Wiley Interscience, [2006], ©2006.
Description
xv, 431 pages : illustrations ; 25 cm.

Details

Subject(s)
Series
Wiley series in probability and statistics. [More in this series]
Bibliographic references
Includes bibliographical references (p. 417-425) and index.
Contents
  • 1. Operational risk
  • 2. Basic probability concepts
  • 3. Measures of risk
  • 4. Models for the size of losses : continuous distributions
  • 5. Models for the number of losses : counting distributions
  • 6. Aggregate loss models
  • 7. Extreme value theory : the study of jumbo losses
  • 8. Multivariate models
  • 9. Review of mathematical statistics
  • 10. Parameter estimation
  • 11. Estimation for discrete distributions
  • 12. Model selection
  • 13. Fitting extreme value models
  • 14. Fitting copula models
  • App. A. Gamma and related functions
  • App. B. Discretization of the severity distribution
  • App. C. Nelder-Mead simplex method.
ISBN
0471760897
LCCN
2006044261
International Article Number
  • 9780471760894
RCP
C - S
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