Loss Data Analysis

The Maximum Entropy Approach
1. Auflage 2018
ISBN: 978-3-11-051604-3
Verlag: De Gruyter

Buch, Englisch, 198 Seiten, Format (B × H): 170 mm x 240 mm, Gewicht: 366 g

Reihe: De Gruyter STEM

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.

Zielgruppe

Professionals and Students in Mathematics, Finance and Insurance.

Autoren/Hrsg.

Gzyl, Henryk

Gomes-Gonçalves, Erika

Mayoral, Silvia

Fachgebiete

• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Datenanalyse, Datenverarbeitung
• Mathematik | Informatik EDV | Informatik Daten / Datenbanken Automatische Datenerfassung, Datenanalyse
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Risikobewertung, Risikotheorie

Über Autor(innen)

Henryk Gzyl, IESA, Caracas, Venezuela.Erika Gomes-Goncalves and Silvia Mayoral, Universidad Carlos III de Madrid, Spain.