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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

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

Maxentropic and Quantitative Methods in Operational Risk Modeling

Gomes-Gonçalves, Erika - 2017

In risk management the estimation of the distribution of random sums or collective models from historical data is not a trivial problem. This is due to problems related with scarcity of the data, asymmetries and heavy tails that makes difficult a good fit of the data to the most frequent...

Persistent link: https://www.econbiz.de/10012954478

Computing the value-at-risk of aggregate severities

Gzyl, Henryk - In: The journal of operational risk 6 (2011/12) 4, pp. 59-63

Persistent link: https://www.econbiz.de/10009422503

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

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

Determing the total loss distribution from the moments of the exponential pf the compound loss

Gzyl, Hendryk - In: The journal of operational risk 6 (2011) 3, pp. 3-13

Persistent link: https://www.econbiz.de/10009374124