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pdf | 6.07 MB | English | Isbn:‎ B0BST67WT7 | Author: Henryk Gzyl | Year: 2023

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


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