Determination of the distribution of total loss from the fractional moments of its exponential

DOI10.1016/j.amc.2012.08.057zbMath1291.91112OpenAlexW2096653017MaRDI QIDQ2250237

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

zbMATH Keywords

Laplace transformmaximum entropy methodfractional momentscompound loss distribution

Mathematics Subject Classification ID

Related Items (4)

Hausdorff moment problem: recovery of an unknown support for a probability density function ⋮ A note on recovering the distributions from exponential moments ⋮ Numerical determination of hitting time distributions from their Laplace transforms: simple cases ⋮ Orthogonal polynomial expansions to evaluate stop-loss premiums

Uses Software

• QRM

Cites Work

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