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Reconstructing heavy-tailed distributions by splicing with maximum entropy in the mean

Carrillo Menéndez, Santiago; Gzyl, Henryk; Tagliani, Aldo - In: The journal of operational risk 7 (2012) 2, pp. 3-15

Persistent link: https://www.econbiz.de/10009572428

Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments

Gzyl, Henryk; Novi-Inverardi, Pier-Luigi; Tagliani, Aldo - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 457-463

Persistent link: https://www.econbiz.de/10010195910

A comparison of numerical approaches to determine the severity of losses

Gzyl, Henryk; Novi-Inverardi, Pier Luigi; Tagliani, Aldo - In: The journal of operational risk 8 (2013) 1, pp. 3-15

Persistent link: https://www.econbiz.de/10010256992

Discontinuous payoff option pricing by Mellin transform : a probabilistic approach

Gzyl, Henryk; Milev, M.; Tagliani, Aldo - In: Finance research letters 20 (2017), pp. 281-288

Persistent link: https://www.econbiz.de/10011806950

Reconstructing heavy-tailed distributions by splicing with maximum entropy in the mean

Carrillo, Santiago; Gzyl, Henryk; Tagliani, Aldo - In: The journal of operational risk 7 (2012) 2, pp. 3-15

Persistent link: https://www.econbiz.de/10010006549

Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments

Gzyl, Henryk; Novi-Inverardi, Pier-Luigi; Tagliani, Aldo - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 457-463

Persistent link: https://www.econbiz.de/10010175078

Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments

Gzyl, Henryk; Novi-Inverardi, Pier-Luigi; Tagliani, Aldo - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 457-463

In this work we present two different numerical methods to determine the probability of ultimate ruin as a function of the initial surplus. Both methods use moments obtained from the Pollaczek–Kinchine identity for the Laplace transform of the probability of ultimate ruin. One method uses...

Persistent link: https://www.econbiz.de/10010702905