Loss Data Analysis : : The Maximum Entropy Approach /

Loss Data Analysis : : The Maximum Entropy Approach / / Henryk Gzyl, Silvia Mayoral, Erika Gomes-Gonçalves.

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This volume deals with two complementary topics. On one hand the book deals with the problem of determining the the probability distribution of a positive compound random variable, a problem which appears in the banking and insurance industries, in many areas of operational research and in reliabili...

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Bibliographic Details
Superior document:Title is part of eBook package: De Gruyter DG Plus DeG Package 2023 Part 1
VerfasserIn:
Gzyl, Henryk,
Gomes-Gonçalves, Erika,
Mayoral, Silvia,
MitwirkendeR:
Gomes-Gonçalves, Erika,
Gzyl, Henryk,
Mayoral, Silvia,
Place / Publishing House:Berlin ;, Boston : : De Gruyter, , [2023]
©2023
Year of Publication:2023
Edition:2nd extended edition
Language:English
Series:De Gruyter STEM
Online Access:
Physical Description:1 online resource (XII, 210 p.)
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Table of Contents:
  • Frontmatter
  • Preface
  • Contents
  • 1 Introduction
  • 2 Frequency models
  • 3 Individual severity models
  • 4 Some detailed examples
  • 5 Some traditional approaches to the aggregation problem
  • 6 Laplace transforms and fractional moment problems
  • 7 The standard maximum entropy method
  • 8 Extensions of the method of maximum entropy
  • 9 Superresolution in maxentropic Laplace transform inversion
  • 10 Sample data dependence
  • 11 Disentangling frequencies and decompounding losses
  • 12 Computations using the maxentropic density
  • 13 A solution to the capital allocation problem
  • 14 Review of statistical procedures
  • Bibliography
  • Index

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