Loss data analysis. The maximum entropy approach

DOI10.1515/9783110516074MaRDI QIDQ1692601zbMATH OpenOpenAlexFDO

Authors Henryk Gzyl, Silvia Mayoral, Erika Gomes-Gonçalves

Publication date 10 January 2018

Published in De Gruyter Textbook (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/9783110516074

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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Cited in

(8)

• On the principle of maximum entropy and the risk analysis of disaster loss
• More on the probable maximum loss
• A maximum entropy approach to loss distribution analysis
• Information-theoretic methods for estimating complicated probability distributions.
• scientific article; zbMATH DE number 874478 (Why is no real title available?)
• Maxentropic approach to decompound aggregate risk losses
• Determination of the distribution of total loss from the fractional moments of its exponential
• Loss data analysis: analysis of the sample dependence in density reconstruction by maxentropic methods

Describes a project that uses

Uses Software

• R

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