A Maximum Entropy Approach to Loss Distribution Analysis
نویسندگان
چکیده
منابع مشابه
A Maximum Entropy Approach to Loss Distribution Analysis
In this paper we propose an approach to the estimation and simulation of loss distributions based on Maximum Entropy (ME), a non-parametric technique that maximizes the Shannon entropy of the data under moment constraints. Special cases of the ME density correspond to standard distributions; therefore, this methodology is very general as it nests most classical parametric approaches. Sampling t...
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ژورنال
عنوان ژورنال: Entropy
سال: 2013
ISSN: 1099-4300
DOI: 10.3390/e15031100