A maximum entropy approach to loss distribution analysis
From MaRDI portal
(Redirected from Publication:742687)
Recommendations
- Loss data analysis. The maximum entropy approach
- Loss data analysis. The maximum entropy approach
- On the principle of maximum entropy and the risk analysis of disaster loss
- Loss data analysis: analysis of the sample dependence in density reconstruction by maxentropic methods
- A maximum entropy framework for nonexponential distributions
- scientific article; zbMATH DE number 63418
- On density estimation under relative entropy loss criterion
- Two maxentropic approaches to determine the probability density of compound risk losses
Cites work
- Adaptive importance sampling for simulating copula-based distributions
- Calculation of maximum entropy densities with application to income distribution
- Estimation of asset distributions from option prices: analysis and regularization
- Information Theory and Statistical Mechanics
- Maximum entropy distributions inferred from option portfolios on an asset
- On composite lognormal-Pareto models
- The EM Algorithm and Extensions, 2E
- The cross-entropy method for combinatorial and continuous optimization
Cited in
(7)- Two maxentropic approaches to determine the probability density of compound risk losses
- On the principle of maximum entropy and the risk analysis of disaster loss
- A Decision Framework For Nonsymmetric Losses
- Loss data analysis. The maximum entropy approach
- Maxentropic approach to decompound aggregate risk losses
- Determination of the distribution of total loss from the fractional moments of its exponential
- Loss data analysis: analysis of the sample dependence in density reconstruction by maxentropic methods
This page was built for publication: A maximum entropy approach to loss distribution analysis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q742687)
