A maximum entropy approach to loss distribution analysis

DOI10.3390/e15031100zbMath1325.94050OpenAlexW1977599027MaRDI QIDQ742687

Marco Bee

Publication date: 19 September 2014

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/e15031100

zbMATH Keywords

maximum entropyheavy tailadaptive importance samplingloss models

Mathematics Subject Classification ID

Measures of information, entropy (94A17)

Uses Software

• evd

Cites Work

• Calculation of maximum entropy densities with application to income distribution
• Maximum entropy distributions inferred from option portfolios on an asset
• The cross-entropy method for combinatorial and continuous optimization
• Adaptive importance sampling for simulating copula-based distributions
• Information Theory and Statistical Mechanics
• The EM Algorithm and Extensions, 2E
• Estimation of Asset Distributions from Option Prices: Analysis and Regularization
• On composite lognormal-Pareto models

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