Search Results - subject:"Panjer algorithm"

A new algorithm for the loss distribution function with applications to Operational Risk Management

Guegan, Dominique; Hassani, Bertrand - HAL - 2009

distribution function is computed via the Panjer algorithm which is an iterative algorithm. In this paper, we propose an adaptation …

Persistent link: https://www.econbiz.de/10010738597

A modified Panjer algorithm for operational risk capital calculations

Guegan, Dominique; Hassani, Bertrand - HAL - 2009

Operational risk management inside banks and insurance companies is an important task. The computation of a risk measure associated to these kinds of risks lies in the knowledge of the so-called loss distribution function (LDF). Traditionally, this LDF is computed via Monte Carlo simulations or...

Persistent link: https://www.econbiz.de/10010738680

A new algorithm for the loss distribution function with applications to Operational Risk Management.

Guegan, Dominique; Hassani, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

distribution function is computed via the Panjer algorithm which is an iterative algorithm. In this paper, we propose an adaptation …

Persistent link: https://www.econbiz.de/10005051728

On the nature of Phase-type poisson distributions

Hautphenne, Sophie; Latouche, Guy; Nguyen, Giang T. - In: Annals of actuarial science : publ. by the Institute of … 8 (2014) 1, pp. 79-98

Persistent link: https://www.econbiz.de/10010358001