Concepedia

Loss Severity Analysis

Loss Severity Analysis is a quantitative risk assessment method in actuarial science that specifically measures the distribution and magnitude of individual loss amounts within the context of facultative reinsurance to evaluate potential financial impacts on insurers.

52

Publications

2.7K

Citations

131

Authors

78

Institutions

Publications per year

2017–2026

11

Parents

Publications

52

Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory

Alexander J. McNeil · Astin Bulletin · 1997 · 552 citations · Full text

, , +17

Credit Risk in Private Debt Portfolios

Mark Carey · The Journal of Finance · 1998 · 253 citations

, , +17

Loss Distribution Approach for Operational Risk

Antoine Frachot, Pierre Georges, Thierry Roncalli · SSRN Electronic Journal · 2001 · 177 citations · Full text

, , +17

An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates

Valérie Chavez‐Demoulin, Paul Embrechts, Marius Hofert · Journal of Risk & Insurance · 2015 · 139 citations

, , +15

Measuring LGD on Commercial Loans: An 18-Year Internal Study

Michel Araten, Michael R. Jacobs, Peeyush Varshney · 2004 · 117 citations

, , +13

1–5 of 52

Authors

131

  1. RV
    Robert Van Order

    Freddie Mac (United States), United States

    3 publications · 143 citations

    3

    h-index

  2. AJ
    Alexander J. McNeil

    ETH Zurich, Switzerland

    2 publications · 647 citations

    2

    h-index

  3. PE
    Paul Embrechts

    ETH Zurich, Switzerland

    2 publications · 175 citations

    2

    h-index

  4. ER
    Eric Rosenblatt

    Georgia State University, United States

    2 publications · 84 citations

    2

    h-index

  5. GC
    Gordon Crawford

    Feminist Archive North, United Kingdom

    2 publications · 84 citations

    2

    h-index

1–5 of 131

Institutions

78

  1. ETH Zurich

    Zurich, Switzerland

    4 h-index

    8 publications

    398 citations

  2. Federal Reserve Board of Governors

    Washington D.C., United States

    3 h-index

    5 publications

    375 citations

  3. Freddie Mac (United States)

    Tysons Corner, United States

    3 h-index

    5 publications

    266 citations

  4. University of Michigan

    Ann Arbor, United States

    3 h-index

    5 publications

    109 citations

  5. Thomson Reuters (United States)

    New York, United States

    2 h-index

    6 publications

    204 citations

  6. University of Haifa

    Haifa, Israel

    2 h-index

    3 publications

    180 citations

  7. SUNY Polytechnic Institute

    Utica, United States

    2 h-index

    4 publications

    136 citations

  8. Federal Reserve

    Washington D.C., United States

    2 h-index

    4 publications

    122 citations

1–8 of 78

Venues

  1. The Journal of Operational Risk

    5 publications · 116 citations

    5

    h-index

  2. SSRN Electronic Journal

    Repository · 4 publications · 225 citations

    4

    h-index

  3. Journal of Risk & Insurance

    4 publications · 206 citations

    4

    h-index

  4. Astin Bulletin

    3 publications · 573 citations

    3

    h-index

  5. The Journal of Fixed Income

    4 publications · 58 citations

    3

    h-index

1–5