Maxentropic approach to decompound aggregate risk losses

DOI10.1016/j.insmatheco.2015.07.003zbMath1348.62236OpenAlexW152479665MaRDI QIDQ495498

Silvia Mayoral, Henryk Gzyl, Erika Gomes-Gonçalves

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.07.003

zbMATH Keywords

maximum entropydecompoundingdensity of individual lossesfrequency disentangling

Mathematics Subject Classification ID

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

Related Items

Loss data analysis: analysis of the sample dependence in density reconstruction by maxentropic methods

Uses Software

• HSAUR

Cites Work

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• Cluster Identification Using Projections
• A Handbook of Statistical Analyses Using R
• Operational Risk
• A new look at the statistical model identification

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