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Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments

Gzyl, Henryk; Novi-Inverardi, Pier-Luigi; Tagliani, Aldo - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 457-463

Persistent link: https://www.econbiz.de/10010195910

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

Discontinuous payoff option pricing by Mellin transform : a probabilistic approach

Gzyl, Henryk; Milev, M.; Tagliani, Aldo - In: Finance research letters 20 (2017), pp. 281-288

Persistent link: https://www.econbiz.de/10011806950

Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean

Arratia, Argimiro - 2018

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...

Persistent link: https://www.econbiz.de/10012919024

How to keep your portfolio close in risk and diversification to a desired benchmark

Arratia, Argimiro; Gzyl, Henryk; Mayoral, Silvia - In: Computational economics 64 (2024) 3, pp. 1489-1505

Persistent link: https://www.econbiz.de/10015143936

Determination of the probability distribution measures from market option prices using the method of maximum entropy in the mean

Gzyl, Henryk; Mayoral, Silvia - In: Applied mathematical finance 19 (2012) 3/4, pp. 299-312

Persistent link: https://www.econbiz.de/10009710972

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

Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: Insurance / Mathematics & economics 62 (2015), pp. 42-53

Persistent link: https://www.econbiz.de/10011312089

Maxentropic approach to decompound aggregate risk losses

Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: Insurance / Mathematics & economics 64 (2015), pp. 326-336

Persistent link: https://www.econbiz.de/10011398090

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

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