A Maximum Entropy Approach to Loss Distribution Analysis

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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Bibliographic Details
Main Author: Marco Bee
Format: Article
Language:English
Published: MDPI AG 2013-03-01
Series:Entropy
Subjects:
maximum entropy
adaptive importance sampling
heavy tail
loss models
Online Access:http://www.mdpi.com/1099-4300/15/3/1100

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