Two maxentropic approaches to determine the probability density of compound risk losses
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DOI: 10.1016/j.insmatheco.2015.03.001
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- Erika Gomes-Gonc{c}alves & Henryk Gzyl & Silvia Mayoral, 2014. "Two maxentropic approaches to determine the probability density of compound risk losses," Papers 1411.5625, arXiv.org, revised Nov 2014.
References listed on IDEAS
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Cited by:
- Kartashova Olga Ivanovna & Molchanova Olga Vladimirovna & Axana Turgaeva, 2018. "Insurance Risks Management Methodology," JRFM, MDPI, vol. 11(4), pages 1-15, October.
- Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2016. "Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 145-153.
- Gomes-Gonçalves, Erika & Gzyl, Henryk & Mayoral, Silvia, 2015. "Maxentropic approach to decompound aggregate risk losses," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 326-336.
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Keywords
Total loss distribution; Maximum entropy methods; Laplace transform; Decompounding;All these keywords.
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