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

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Yes, you can access Loss Data Analysis by Henryk Gzyl, Silvia Mayoral, Erika Gomes-Gonçalves in PDF and/or ePUB format, as well as other popular books in Computer Science & Data Mining. We have over one million books available in our catalogue for you to explore.

Information

Publisher

De Gruyter

Year

2023

ISBN

9783111049700

Edition

Topic

Computer Science

Subtopic

Data Mining

Index

Computer Science

Title Page
Copyright
Contents
1 Introduction
2 Frequency models
3 Individual severity models
4 Some detailed examples
5 Some traditional approaches to the aggregation problem
6 Laplace transforms and fractional moment problems
7 The standard maximum entropy method
8 Extensions of the method of maximum entropy
9 Superresolution in maxentropic Laplace transform inversion
10 Sample data dependence
11 Disentangling frequencies and decompounding losses
12 Computations using the maxentropic density
13 A solution to the capital allocation problem
14 Review of statistical procedures
Subject Index