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

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

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

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