Loss Data Analysis

De Gruyter Textbook
The Maximum Entropy Approach
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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 reliability problems in the engineering sciences. On the other hand, the methodology proposed to solve such problems, which is based on an application of the maximum entropy method to invert the Laplace transform of the distributions, can be applied to many other problems. The book contains applications to a large variety of problems, including the problem of dependence of the sample data used to estimate empirically the Laplace transform of the random variable. Contents Introduction Frequency models Individual severity models Some detailed examples Some traditional approaches to the aggregation problem Laplace transforms and fractional moment problems The standard maximum entropy method Extensions of the method of maximum entropy Superresolution in maxentropic Laplace transform inversion Sample data dependence Disentangling frequencies and decompounding losses Computations using the maxentropic density Review of statistical procedures
Autor: Henryk Gzyl, Silvia Mayoral, Erika Gomes-Gonçalves
Henryk Gzyl, IESA, Caracas, Venezuela.Erika Gomes-Goncalves and Silvia Mayoral, Universidad Carlos III de Madrid, Spain.

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Autor: Henryk Gzyl
ISBN-13 :: 9783110516043
ISBN: 3110516047
Erscheinungsjahr: 05.02.2018
Verlag: Gruyter, Walter de GmbH
Gewicht: 414g
Seiten: 198
Sprache: Englisch
Altersempfehlung: 18 - 21 Jahre
Sonstiges: Taschenbuch, 241x182x20 mm, 29 b/w and 4 col. ill., 78 b/w tbl.
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