This paper considers some univariate and multivariate operational risk models, in which the loss severities are modeled by some weakly tail dependent and heavy-tailed positive random variables, and ...

To quantify the aggregate losses from operational risk, we employ an actuarial risk model, ie, we consider the compound Cox model of operational risk to deal with the stochastic nature of its ...

In operator algebra theory, a conditional expectation is usually assumed to be a projection map onto a sub-algebra. In the paper, a further type of conditional expectation and an extension of the ...