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Here we present an application of two maxentropic procedures to determine the probability density distribution of a compound random variable describing aggregate risk, using only a finite number of empirically determined fractional moments. The two methods that we use are the Standard method of...
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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...
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A risk manager may be faced with the following problem: she/he has obtained loss data collected during a year, but the data only contains the total number events and the total loss for that year. She/he suspects that there are different sources of risk, each occurring with a different frequency,...
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