Maxentropic approach to decompound aggregate risk losses
Year of publication: |
2015
|
---|---|
Authors: | Gomes-Gonçalves, Erika ; Gzyl, Henryk ; Mayoral, Silvia |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 64.2015, p. 326-336
|
Subject: | Frequency disentangling | Decompounding | Density of individual losses | Maximum entropy | Entropie | Entropy | Theorie | Theory | Statistische Verteilung | Statistical distribution | Verlust | Loss | Risiko | Risk | Risikomanagement | Risk management |
-
Two maxentropic approaches to determine the probability density of compound risk losses
Gomes-Gonçalves, Erika, (2015)
-
A limit distribution of credit portfolio losses with low default probabilities
Shi, Xiaojun, (2017)
-
Asymmetric competition, risk, and return distribution
Mundt, Philipp, (2019)
- More ...
-
Two maxentropic approaches to determine the probability density of compound risk losses
Gomes-Gonçalves, Erika, (2015)
-
A maximum entropy approach to the loss data aggregation problem
Gomes-Gonçalves, Erika, (2016)
-
Gomes-Gonçalves, Erika, (2016)
- More ...