Sequential Monte Carlo methods are a very general class of Monte Carlo methods for sampling from sequences of distributions. Simple examples of these algorithms are used very widely in the tracking and signal processing literature. Recent developments illustrate that these techniques have much...

Following the Loss Distributional Approach (LDA), this article develops two procedures for simulation of an annual loss distribution for modeling of Operational Risk. First, we provide an overview of the typical compound-process LDA used widely in Operational Risk modeling, before expanding upon...