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portada Loss Data Analysis: The Maximum Entropy Approach
Type
Physical Book
Author
Publisher
Language
English
Pages
222
Format
Paperback
Dimensions
24.4x17x1.2 cm
Weight
0.36 kg.
ISBN13
9783111047386
Edition No.
0002
Categories

Loss Data Analysis: The Maximum Entropy Approach

Henryk Gzyl (Author) · Silvia Mayoral (Author) · Erika Gomes-Gonçalves (Author) · de Gruyter · Paperback

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

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Synopsis "Loss Data Analysis: The Maximum Entropy Approach "

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. ContentsIntroductionFrequency modelsIndividual severity modelsSome detailed examplesSome traditional approaches to the aggregation problemLaplace transforms and fractional moment problemsThe standard maximum entropy methodExtensions of the method of maximum entropySuperresolution in maxentropic Laplace transform inversionSample data dependenceDisentangling frequencies and decompounding lossesComputations using the maxentropic densityReview of statistical procedures

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