Model Uncertainty in Operational Risk Modeling Due to Data Truncation: A Single Risk Case
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- Bakhodir Ergashev & Konstantin Pavlikov & Stan Uryasev & Evangelos Sekeris, 2016. "Estimation of Truncated Data Samples in Operational Risk Modeling," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 613-640, September.
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- Vytaras Brazauskas & Sahadeb Upretee, 2019. "Model Efficiency and Uncertainty in Quantile Estimation of Loss Severity Distributions," Risks, MDPI, vol. 7(2), pages 1-16, May.
- Albert Cohen, 2018. "Editorial: A Celebration of the Ties That Bind Us: Connections between Actuarial Science and Mathematical Finance," Risks, MDPI, vol. 6(1), pages 1-3, January.
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Keywords
asymptotics; data truncation; delta method; model validation; operational risk; VaR estimation;All these keywords.
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