In this paper, we consider the stability property of the class of generalized subexponential
distributions with respect to product-convolution. Assuming that the primary distribution is in …

ADVANCES IN HEAVY TAILED RISK MODELING A cutting-edge guide for the theories,
applications, and statistical methodologies essential to heavy tailed risk modeling Focusing …

Preface... then, prudence cannot be science. Nor can it be skill. It is not science because the
matters of conduct may vary; and it is not skill because the genus of action is different from …

This paper is organized in three parts closely related to closure properties of heavy-tailed
distributions and heavy-tailed random vectors. In the first part we consider two random …

The management of operational risk in the banking industry has undergone significant
changes over the last decade due to substantial changes in operational risk environment …

We set the context for capital approximation within the framework of the Basel II/III regulatory
capital accords. This is particularly topical as the Basel III accord is shortly due to take effect …

We consider closure properties in the class of positively decreasing distributions. Our results
stem from different types of dependence, but each type belongs in the family of …

Risk measures are inarguably the Economic Regulator Authorities' favorite tool for
preventing crises and controlling the risk existing in Financial institutions and markets. Take …

In this chapter, we define the distribution classes whose closure properties will be
considered in the subsequent chapters: heavy-tailed distributions, regularly varying …

In this paper, we consider a time-dependent risk model, where an insurance company is
allowed to invest its wealth in financial assets and the price process of the investment …