Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation

Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation

Bibliographic Details
Main Authors:	Peters, G, Johansen, A, Doucet, A
Format:	Journal article
Published:	2007