Description: Loss Data Analysis by Henryk Gzyl, Silvia Mayoral, Erika Gomes-Gonçalves 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. A FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher 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. ContentsIntroductionFrequency modelsIndividual severity modelsSome detailed examplesSome traditional approaches to the aggregation problemLaplace transforms and fractional moment problemsThe standard maximum entropy methodExtensions of the method of maximum entropySuperresolution in maxentropic Laplace transform inversionSample data dependenceDisentangling frequencies and decompounding lossesComputations using the maxentropic densityReview of statistical procedures Author Biography Henryk Gzyl has a PhD in Mathematics from UCSD. He works in Quantitatve Finance and Inverse Problems at The Center for Finance of IESA in Caracas. There he lectures on Risk and Portfolio Optimization. Silvia Mayoral is Professor of Finance in the Business Department of Carlos III University, Spain. Her academic activity is devoted to Financial Markets, with a special focus on Risk Measurement and Asset Pricing. Erika Gomes-Gonçalves Ph.D. in Business and Quantitative Methods at the University Carlos III of Madrid (UC3M), Spain. Bachelor in Mathematics at Simón Bolívar University (USB), Caracas, Venezuela. Currently, she works as Independent Scholar and Data Science Consultant in Madrid. Details ISBN3111047385 Author Erika Gomes-Gonçalves Short Title Loss Data Analysis Series De Gruyter STEM Language English Year 2023 Edition 2nd ISBN-10 3111047385 ISBN-13 9783111047386 Format Paperback Subtitle The Maximum Entropy Approach Pages 222 Publisher De Gruyter Publication Date 2023-03-06 Imprint De Gruyter Place of Publication Berlin Country of Publication Germany Illustrations 29 Illustrations, black and white; 4 Illustrations, color Edition Description 2nd extended edition Alternative 9783111049700 DEWEY 519.5 Audience Professional & Vocational We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:140186301;
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Book Title: Loss Data Analysis
