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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
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Sample dependence of risk premiums
Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: The journal of operational risk 14 (2019) 2, pp. 21-37
Persistent link: https://www.econbiz.de/10012052401
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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/10009911472
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Modeling very large losses, II
Gzyl, Henryk - In: The journal of operational risk 17 (2022) 4, pp. 1-16
Persistent link: https://www.econbiz.de/10014367185
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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
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Modeling very large losses
Gzyl, Henryk - In: The journal of operational risk 13 (2018) 2, pp. 59-81
Persistent link: https://www.econbiz.de/10011895066
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Reconstructing heavy-tailed distributions by splicing with maximum entropy in the mean
Carrillo, Santiago; Gzyl, Henryk; Tagliani, Aldo - In: The journal of operational risk 7 (2012) 2, pp. 3-15
Persistent link: https://www.econbiz.de/10010006549
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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
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Disentangling frequency models
Gomes, Erika; Gzyl, Henryk - In: The journal of operational risk 9 (2014) 2, pp. 3-21
Persistent link: https://www.econbiz.de/10010387879
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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