Abstract

FRANCO ARBELAEZ, Luis Ceferino  and  VELASQUEZ CEBALLOS, Hermilson. Operational risk quantification using iterated functions systems. Rev. ing. univ. Medellín [online]. 2011, vol.10, n.18, pp.87-96. ISSN 1692-3324.

This article is one of the results obtain in a research project funded by the University EAFIT in 2011, This paper is based upon a study carried out by Iacus and La Torre [1], it is presented the fractal estimation, through Iterated Function Systems (IFS), as an alternative to estimate the distribution function of added losses which is necessary to quantify the operational risk. As it is shown in the analysis, this technique can deal with some of the difficulties presented with some of the classic actuarial methodologies. Furthermore, an application is presented and conclusions are obtained from it.

Keywords : Operational risk; Basel; loss distribution approach; iterated function systems.

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