Szatkowski, Marcin; Delong, Łukasz - In: Risks : open access journal 9 (2021) 9, pp. 1-29
simulation study. The first goal is to validate the so-called linear emergence pattern formula, which maps the ultimate loss to … the one-year loss, in case when we measure the risks with Value-at-Risk. The second goal is to estimate the true emergence … pattern of the ultimate loss, i.e., the conditional distribution of the one-year loss given the ultimate loss, from which we …
