A modified Panjer algorithm for operational risk capital calculations

D Guégan, B. K. H. (2009). A modified Panjer algorithm for operational risk capital calculations.

Type

Unclassified

Intellectual base

Unclassified

Year

2009

DOI

10.21314/jop.2009.068

Link

https://doi.org/10.21314/jop.2009.068

Cited by

1 citation across 1 artifact.

Domain-specific

• Panjer recursion
  • … identically distributed severities, discretization grid and probability masses, aggregate definition, initial probability, recurrence and truncation and numerical error are explicit. to An applied instance preserves the same invariant under a changed scale, notation, jurisdiction, dataset, or implementation..

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