Following the Loss Distributional Approach (LDA), this article develops two procedures for simulation of an annual loss … Operational Risk modeling, before expanding upon the current literature on evaluation and simulation of annual loss distributions …. We present two novel Monte Carlo simulation procedures. In doing so, we make use of Panjer recursions and the Volterra …

Schadenspotential und stellen eine große Herausforderung für das Risikomanagement der Banken dar. Verena Bayer untersucht Ansätze zur …

In the insurance industry, life insurers are required by regulators to meet capital requirements to avoid insolvency … required capital, insurance companies are motivated to establish hedging strategies to mitigate the inherent risk exposures … into a simulation quandary concerning the management of solvency capital risk associated with mortality and longevity. More …