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Maxentropic approach to decompound aggregate risk losses

Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: Insurance / Mathematics & economics 64 (2015), pp. 326-336

Persistent link: https://www.econbiz.de/10011398090

Two maxentropic approaches to determine the probability density of compound risk losses

Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: Insurance / Mathematics & economics 62 (2015), pp. 42-53

Persistent link: https://www.econbiz.de/10011312089

Determination of the probability distribution measures from market option prices using the method of maximum entropy in the mean

Gzyl, Henryk; Mayoral, Silvia - In: Applied mathematical finance 19 (2012) 3/4, pp. 299-312

Persistent link: https://www.econbiz.de/10009710972

A maximum entropy approach to the loss data aggregation problem

Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: The journal of operational risk 11 (2016) 1, pp. 49-70

Persistent link: https://www.econbiz.de/10011518211

A Maximum Entropy Approach to the Loss Data Aggregation Problem

Gomes-Gonçalves, Erika - 2018

One of the main problems in the advanced measurement approach to determine operational risk regulatory capital, consists of the computation of the distribution of losses when the data is made up of aggregated losses caused by different types of risk events in different business lines. A similar...

Persistent link: https://www.econbiz.de/10012936553

A numerical approach to the risk capital allocation problem

Gzyl, Henryk; Mayoral, Silvia - In: Journal of risk 23 (2021) 5, pp. 55-78

Persistent link: https://www.econbiz.de/10012630870

Sample dependence of risk premiums

Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: The journal of operational risk 14 (2019) 2, pp. 21-37

Persistent link: https://www.econbiz.de/10012052401