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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

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

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

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 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

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

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 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