A maximum entropy approach to loss distribution analysis
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Publication:742687
DOI10.3390/E15031100zbMATH Open1325.94050OpenAlexW1977599027MaRDI QIDQ742687FDOQ742687
Authors: 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
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Cites Work
- On composite lognormal-Pareto models
- The EM Algorithm and Extensions, 2E
- The cross-entropy method for combinatorial and continuous optimization
- Information Theory and Statistical Mechanics
- Calculation of maximum entropy densities with application to income distribution
- Maximum entropy distributions inferred from option portfolios on an asset
- Estimation of asset distributions from option prices: analysis and regularization
- Adaptive importance sampling for simulating copula-based distributions
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
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