Determination of the distribution of total loss from the fractional moments of its exponential
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Publication:2250237
DOI10.1016/J.AMC.2012.08.057zbMATH Open1291.91112OpenAlexW2096653017MaRDI QIDQ2250237FDOQ2250237
Authors: Aldo Tagliani, Henryk Gzyl 
Publication date: 4 July 2014
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2012.08.057
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Cites Work
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- Maximum Entropy Density Estimation from Fractional Moments
- Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
- Recovering a function from a finite number of moments
- Geometry of moment spaces
- Hausdorff moment problem: Reconstruction of distributions
- Hausdorff moment problem: reconstruction of probability density functions
- Hausdorff moment problem and fractional moments
- Operational Risk
- Moment-recovered approximations of multivariate distributions: the Laplace transform inver\-sion
- On moments based Padé approximations of ruin probabilities
- A generalization of Panjer's recursion and numerically stable risk aggregation
- A short tale of long tail integration
- Panjer recursion versus FFT for compound distributions
- On the moment determinacy of the distributions of compound geometric sums
Cited In (7)
- Orthogonal polynomial expansions to evaluate stop-loss premiums
- Title not available (Why is that?)
- Numerical determination of hitting time distributions from their Laplace transforms: simple cases
- Loss data analysis. The maximum entropy approach
- Hausdorff moment problem: recovery of an unknown support for a probability density function
- Maxentropic approach to decompound aggregate risk losses
- A note on recovering the distributions from exponential moments
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