Loss data analysis: analysis of the sample dependence in density reconstruction by maxentropic methods

DOI10.1016/j.insmatheco.2016.08.007zbMath1373.62516OpenAlexW3123142901MaRDI QIDQ2374105

Erika Gomes-Gonçalves, Silvia Mayoral, Henryk Gzyl

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/33723

zbMATH Keywords

loss distributionsloss data analysismaximum entropy density reconstructionsample dependence of density estimationsample dependence of risk measures

Mathematics Subject Classification ID

Related Items (1)

Sample dependence in the maximum entropy solution to the generalized moment problem

Cites Work

• Unnamed Item
• Unnamed Item
• Density reconstructions with errors in the data
• Maxentropic approach to decompound aggregate risk losses
• Panjer recursion versus FFT for compound distributions
• Computing compound distributions faster!
• Sample dependence in the maximum entropy solution to the generalized moment problem
• Two maxentropic approaches to determine the probability density of compound risk losses
• Information Theory and Statistical Mechanics
• On Minimization and Maximization of Entropy in Various Disciplines
• Operational Risk

This page was built for publication: Loss data analysis: analysis of the sample dependence in density reconstruction by maxentropic methods