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; therefo...
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| Format: | Article |
| Language: | English |
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MDPI AG
2013-03-01
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| Series: | Entropy |
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| Online Access: | http://www.mdpi.com/1099-4300/15/3/1100 |