Tags » Operational Risk

Estimate Regression with (Type-I) Pareto Response

The Type-I Pareto distribution has a probability function shown as below

f(y; a, k) = k * (a ^ k) / (y ^ (k + 1))
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Statistical Models

More about Flexible Frequency Models

Modeling the frequency is one of the most important aspects in operational risk models. In the previous post (https://statcompute.wordpress.com/2016/05/13/more-flexible-approaches-to-model-frequency), the importance of flexible modeling approaches for both under-dispersion and over-dispersion has been discussed. 311 more words

Statistical Models

Modified Park Test in SAS

The severity measure in operational loss models has an empirical distribution with positive values and a long tail to the far right. To estimate regression models for severity measures with such data characteristics, we can consider several candidate distributions, such as Lognormal, Gamma, inverse Gaussian, and so on. 412 more words

Statistical Models

Parameter Estimation of Pareto Type II Distribution with NLMIXED in SAS

In several previous posts, I’ve shown how to estimate severity models under the various distributional assumptions, including Lognormal, Gamma, and Inverse Gaussian. However, I am not satisfied with the fact that the supporting domain of aforementioned distributions doesn’t include the value at ZERO. 291 more words

Statistical Models

Is Brexit an opportunity to transform your operating model?

A lot has been talked about Brexit, its repercussions and long-term impact to businesses, clients and global economic order. While these are macroeconomic issues, organisations small, medium and large must understand the institutional impact of Brexit – i.e. 48 more words

Private Equity

Simplifying the Complex Investment Accounting Process at Insurance Companies

By Iwona Olszewska

Ever increasing market and regulatory complexities facing today’s insurance firms can be a headache for asset managers who need to worry about adding new functionality to their investment management software technology, and maintaining the in-house expertise to apply these new, complicated rules to a wider range of asset classes. 382 more words


OMI Risk – Where Operational, Model and Investment Risks Come Together

By: Jim Ramenda

When asked about risk, insurers generally identify operational, model, and investment risks among their greatest concerns. As the leading provider of insurance financial reporting and risk software and services, SS&C would agree. 356 more words

Alternative Investments