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...

One of the main problems in the advanced measurement approach to determine operational risk regulatory capital, consists of the computation of the distribution of losses when the data is made up of aggregated losses caused by different types of risk events in different business lines. A similar...

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...