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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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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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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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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
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Determing the total loss distribution from the moments of the exponential pf the compound loss
Gzyl, Hendryk - In: The journal of operational risk 6 (2011) 3, pp. 3-13
Persistent link: https://www.econbiz.de/10009374124