Abstract
An introduction to g-and-h distribution is provided in this chapter. The quantification of operational risk is often performed through g-and-h distribution. The concept of g-and-h distribution is presented along with some important properties of g-and-h distribution. The g-and-h distribution is fitted to the real life data. Some significant comments on the calculation of g and h parameters concludes the chapter. This chapter lays the foundation stone for the Chaps. 4, 6 and 7.
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Chaudhuri, A., Ghosh, S.K. (2016). The g-and-h Distribution. In: Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory. Studies in Fuzziness and Soft Computing, vol 331. Springer, Cham. https://doi.org/10.1007/978-3-319-26039-6_3
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DOI: https://doi.org/10.1007/978-3-319-26039-6_3
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