Combined Distribution-Monte Carlo Simulation

Discussion in 'SP9' started by Mesut, Apr 17, 2014.

  1. Mesut

    Mesut Member

    I would appreciate some light on the following:

    I have fitted a distribution of loss incidence and frequency severity for each of two types pf operational risk.

    Next I have determined the correlation of the two risks.

    How do I go ahead to come up with scenarios using the distributions and correlation?
     
  2. Simon James

    Simon James ActEd Tutor Staff Member

    Gaussian copula?
     

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