Description: 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 Henryk Gzyl, IESA, Caracas, Venezuela. Erika Gomes-Goncalves and Silvia Mayoral, Universidad Carlos III de Madrid, Spain.
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EAN: 9783110516043
UPC: 9783110516043
ISBN: 9783110516043
MPN: N/A
Item Length: 24.4 cm
Item Height: 240 mm
Item Width: 170 mm
Author: Silvia Mayoral, Erika Gomes-Goncalves, Henryk Gzyl
Publication Name: Loss Data Analysis: the Maximum Entropy Approach
Format: Paperback
Language: English
Publisher: De Gruyter
Subject: Economics, Computer Science, Mathematics
Publication Year: 2018
Type: Textbook
Item Weight: 413 g
Number of Pages: 210 Pages