Narrow search
Showing 1 - 5 of 5
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Loss Data Analysis : Analysis of the Sample Dependence In Density Reconstruction by Maxentropic Methods
Gomes-Gonçalves, Erika - 2018
The problem of determining probability densities from data is important in many fields, in particular in insurance and risk analysis. The method of maximum entropy has proven to be a powerful tool to determine probability densities from a few values of its Laplace transform. This is so, even...
Persistent link: https://www.econbiz.de/10012936913