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LogTukey-Type Distributions as Models for Operational Losses

In: Statistical Dependence Modeling

Author

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  • Matthias Fischer

    (FAU, Department of Statistics & Econometrics)

Abstract

Capturing the distributional stylized facts of operational loss data is one of the key tasks in operational risk (OpRisk) measurement, in particular when using the so-called loss distributional approach (LDA) where both the number and the size of operational losses are assumed to be stochastic. In order to rebuild the skewness and tail heaviness of loss size distributions flexible parametric distribution families are needed. Against this background, we introduce a new, flexible distribution family termed as LogTukey-Type Distribution, derive some properties and illustrate its flexibility compared to other competitors.

Suggested Citation

  • Matthias Fischer, 2026. "LogTukey-Type Distributions as Models for Operational Losses," Springer Books, in: Thomas Nagler & Dorota Kurowicka & Roger Cooke & Harry Joe (ed.), Statistical Dependence Modeling, pages 341-351, Springer.
    • Handle: RePEc:spr:sprchp:978-3-032-14252-8_14
    DOI: 10.1007/978-3-032-14252-8_14
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