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

DOI10.1016/j.insmatheco.2015.03.001zbMath1318.91113arXiv1411.5625OpenAlexW2076709060MaRDI QIDQ2347057

Erika Gomes-Gonçalves, Silvia Mayoral, Henryk Gzyl

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.5625

zbMATH Keywords

Laplace transformdecompoundingmaximum entropy methodstotal loss distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Loss data analysis: analysis of the sample dependence in density reconstruction by maxentropic methods ⋮ Superresolution in the maximum entropy approach to invert Laplace transforms ⋮ Maxentropic approach to decompound aggregate risk losses

Uses Software

• AnDarl

Cites Work

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