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Maxentropic approach to decompound aggregate risk losses

Gomes-Gonçalves, Erika, Henryk Gzyl () and Silvia Mayoral

Insurance: Mathematics and Economics, 2015, vol. 64, issue C, 326-336

Abstract: A risk manager may be faced with the following problem: she/he has obtained loss data collected during a year, but the data only contains the total number of events and the total loss for that year. She/he suspects that there are different sources of risk, each occurring with a different frequency, and wants to identify the frequency with which each type of event occurs and if possible, the individual losses at each risk event.

Keywords: Frequency disentangling; Decompounding; Density of individual losses; Maximum entropy (search for similar items in EconPapers)
Date: 2015
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Handle: RePEc:eee:insuma:v:64:y:2015:i:c:p:326-336