Operational Risk Aggregation across Business Lines Based on Frequency Dependence and Loss Dependence

Table 2

Parameters estimation and goodness of fit test results of severity distribution.

Business line	Severity		KS test
	Distribution	Parameters	𝐷 value	𝑃 value
BL3	SGED	𝜇=3.33,  𝜎=2.42, 𝑘=1.67, 𝜆=1.39	0.02	0.62
BL4	SGED	𝜇=8.38, 𝜎=2.15, 𝑘=2.16, 𝜆=0.85	0.02	0.90
BL5	SGED	𝜇=6.47, 𝜎=2.87, 𝑘=2.59, 𝜆=0.86	0.04	0.82