A solution to a portfolio optimization problem is always conditioned by constraints on the initial capital and the price of the available market assets. If a risk neutral measure is known, then the price of each asset is the discounted expected value of the asset's price under this measure. But...

The analysis of loss data is of utmost interest in many branches of the financial and insurance businesses, in structural engineering and in operations research among others. In the financial industry the determination of the distribution of losses is the first step to take in order to compute...

We present some results of the application of maximum entropy methods to determine the probability density of compound random variables. This problem is very important in the banking and insurance business, but also appears in system reliability and in operations research. The mathematical tool...