Data on Risk Management Reported by J.D. Opdyke and Co-Researchers (Fast, accurate and straightforward extreme quantiles of compound loss…
Data on Risk Management Reported by J.D. Opdyke and Co-Researchers (Fast, accurate and straightforward extreme quantiles of compound loss distributions)
By a
Our news journalists obtained a quote from the research, "It maintains two important advantages over its competitors. First, ISLA correctly accounts for a discontinuity in SLA that can otherwise systematically and notably bias the quantile (capital) approximation under conditions of both finite and infinite mean. Second, because it is based on a closed-form approximation, ISLA maintains the notable speed advantages of SLA over other methods requiring algorithmic looping (eg, fast Fourier transform or Panjer recursion). Speed is important when simulating many quantile (capital) estimates, as is so often required in practice, and essential when simulations of simulations are needed (eg, in some power studies). The modified
According to the news editors, the research concluded: "MISLA is shown to be comparable to PE2 in terms of both speed and accuracy, and it is arguably more straightforward to implement for the majority of advanced measurement approach banks that are already using SLA (and failing to take into account its biasing discontinuity)."
For more information on this research see: Fast, accurate and straightforward extreme quantiles of compound loss distributions.
Our news journalists report that additional information may be obtained by contacting J.D. Opdyke,
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