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

DOI10.1016/J.AMC.2012.08.057MaRDI QIDQ2250237zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Laplace transformmaximum entropy methodfractional momentscompound loss distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

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Cites work

• scientific article; zbMATH DE number 148970 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A generalization of Panjer's recursion and numerically stable risk aggregation
• A short tale of long tail integration
• Geometry of moment spaces
• Hausdorff moment problem and fractional moments
• Hausdorff moment problem: Reconstruction of distributions
• Hausdorff moment problem: reconstruction of probability density functions
• Information Theory and Statistical Mechanics
• Maximum Entropy Density Estimation from Fractional Moments
• Moment-recovered approximations of multivariate distributions: the Laplace transform inver\-sion
• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
• On moments based Padé approximations of ruin probabilities
• On the moment determinacy of the distributions of compound geometric sums
• Operational Risk
• Panjer recursion versus FFT for compound distributions
• Recovering a function from a finite number of moments

Cited in

(7)

• Orthogonal polynomial expansions to evaluate stop-loss premiums
• scientific article; zbMATH DE number 6347250 (Why is no real title available?)
• 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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