Mixed Distributions for Loss Severity Modelling with zeros in the Operational Risk losses - Githubissues

kwoongbae / risk-management-papers

studying risk and regulation (risk management, solvency II)

1 stars 0 forks source link

Mixed Distributions for Loss Severity Modelling with zeros in the Operational Risk losses #12

Closed kwoongbae closed 7 months ago

kwoongbae commented 7 months ago

https://www.researchgate.net/profile/Golden-Sigma-Analytics/publication/228205219_Mixed_Distributions_for_Loss_Severity_Modelling_with_Zeros_in_the_Operational_Risk_Losses/links/56ae146a08ae28588c61a959/Mixed-Distributions-for-Loss-Severity-Modelling-with-Zeros-in-the-Operational-Risk-Losses.pdf
El Adlouni, S., Ezzahid, E., & Mouatassim, Y. (2011).

kwoongbae commented 7 months ago

Introduction

use a mixture model to determine the loss distribution
contribution on the case where there are frequent periods during which zero losses are recorded