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Loss Data Analysis: The Maximum Entropy Approach (De Gruyter STEM) - Softcover
Book 2 of 256: De Gruyter STEM
Synopsis
With applications in insurance, banking and finance as well as engineering and the natural sciences, Operational Risk Assessment is an important tool to mitigate losses. This textbook focuses on loss data analysis using a maximum entropy approach. After introductions of statistical tools and frequency models, specific examples using R are discussed.
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About the Author
Henryk Gzyl, IESA, Caracas, Venezuela.Erika Gomes-Goncalves and Silvia Mayoral, Universidad Carlos III de Madrid, Spain.
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Loss Data Analysis : The Maximum Entropy Approach
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Paperback. Condition: New. This volume deals with two complementary topics. On one hand the book deals with the problem of determining the the probability distribution of a positive compound random variable, a problem which appears in the banking and insurance industries, in many areas of operational research and in reliability problems in the engineering sciences. On the other hand, the methodology proposed to solve such problems, which is based on an application of the maximum entropy method to invert the Laplace transform of the distributions, can be applied to many other problems. The book contains applications to a large variety of problems, including the problem of dependence of the sample data used to estimate empirically the Laplace transform of the random variable. Seller Inventory # LU-9783110516043
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Loss Data Analysis
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De Gruyter, De Gruyter Feb 2018, 2018
ISBN 10: 3110516047
ISBN 13: 9783110516043
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This volume deals with two complementary topics. On one hand the book deals with the problem of determining the the probability distribution of a positive compound random variable, a problem which appears in the banking and insurance industries, in many areas of operational research and in reliability problems in the engineering sciences. On the other hand, the methodology proposed to solve such problems, which is based on an application of the maximum entropy method to invert the Laplace transform of the distributions, can be applied to many other problems. The book contains applications to a large variety of problems, including the problem of dependence of the sample data used to estimate empirically the Laplace transform of the random variable. Contents Introduction Frequency models Individual severity models Some detailed examples Some traditional approaches to the aggregation problem Laplace transforms and fractional moment problems The standard maximum entropy method Extensions of the method of maximum entropy Superresolution in maxentropic Laplace transform inversion Sample data dependence Disentangling frequencies and decompounding losses Computations using the maxentropic density Review of statistical procedures ; This volume deals with two complementary topics. On one hand the book deals with the problem of determining the the probability distribution of a positive compound random variable, a problem which appears in the banking and insurance industries, in many areas of operational research and in reliability problems in the engineering sciences. On the other hand, the methodology proposed to solve such problems, which is based on an application of the maximum entropy method to invert the Laplace transform of the distributions, can be applied to many other problems. The book contains applications to a large variety of problems, including the problem of dependence of the sample data used to estimate empirically the Laplace transform of the random variable. 210 pp. Englisch. Seller Inventory # 9783110516043
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Paperback. Condition: New. This volume deals with two complementary topics. On one hand the book deals with the problem of determining the the probability distribution of a positive compound random variable, a problem which appears in the banking and insurance industries, in many areas of operational research and in reliability problems in the engineering sciences. On the other hand, the methodology proposed to solve such problems, which is based on an application of the maximum entropy method to invert the Laplace transform of the distributions, can be applied to many other problems. The book contains applications to a large variety of problems, including the problem of dependence of the sample data used to estimate empirically the Laplace transform of the random variable. Seller Inventory # LU-9783110516043
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Paperback. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This volume deals with two complementary topics. On one hand the book deals with the problem of determining the the probability distribution of a positive compound random variable, a problem which appears in the banking and insurance indu. Seller Inventory # 206520511
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