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Quantitative modeling of operational risk losses when combining internal and external data
Nielsen, Jens Perch; Guillèn, Montserrat; Bolancé, … - In: Journal / The Capco Institute : journal of financial … 35 (2012), pp. 179-185
Persistent link: https://www.econbiz.de/10010185107
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Non-parametric estimation of operational risk losses adjusted for under-reporting
Buch-Kromann, Tine; Englund, Martin; Gustafsson, Jim; … - In: Scandinavian actuarial journal : Actuarial Society of … 107 (2007) 4, pp. 293
Persistent link: https://www.econbiz.de/10007887274
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Using External Data in Operational Risk
Guillen, Montserrat; Gustafsson, Jim; Nielsen, Jens Perch; … - In: The Geneva papers on risk and insurance - issues and … 32 (2007) 2, pp. 178-189
Persistent link: https://www.econbiz.de/10007736939
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Local multiplicative bias correction for asymmetric kernel density estimators
Hagmann, M.; Scaillet, O. - In: Journal of econometrics 141 (2007) 1, pp. 213-249
Persistent link: https://www.econbiz.de/10007797059
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Local Transformation Kernel Density Estimation of Loss Distributions
Gustafsson, J.; Hagmann, M.; Nielsen, J.P.; Scaillet, O. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10008248864
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Performance measurement of pension strategies: a case study of Danish life cycle products
Guilln, Montserrat; Perch Nielsen, Jens; Prez-Marn, Ana M. - In: Scandinavian actuarial journal : Actuarial Society of … 2012 (2012) 4, pp. 258-277
Persistent link: https://www.econbiz.de/10010056070
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Forecasting in an Extended Chain‐Ladder‐Type Model
Kuang, Di; Nielsen, Bent; Perch Nielsen, Jens - In: The journal of risk and insurance : the journal of the … 78 (2011) 2, pp. 345-360
Persistent link: https://www.econbiz.de/10009014382
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Do-Validation for Kernel Density Estimation
Mammen, Enno; Martínez Miranda, María Dolores; Perch … - In: Journal of the American Statistical Association : JASA 106 (2011) 494, pp. 651-661
Persistent link: https://www.econbiz.de/10009257516
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Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims
Guillén, Montserrat; Jørgensen, Peter Løchte; … - In: Insurance / Mathematics & economics 38 (2006) 2, pp. 229-252
Persistent link: https://www.econbiz.de/10006871528
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Kernel density estimation of actuarial loss functions
Bolancé, Catalina; Guillen, Montserrat; Nielsen, Jens Perch - In: Insurance / Mathematics & economics 32 (2003) 1, pp. 19-36
Persistent link: https://www.econbiz.de/10006891305