Articles by Henryk Gzyl
Modeling very large losses. II
This paper presents a means to estimate very large losses by supposing the event is the result of a succession of factors and estimating the probability of each factor.
A numerical approach to the risk capital allocation problem
The aim of this paper is to use a model-free, nonparametric approach based on the method of maximum entropy in the mean to solve the capital risk allocation problem.
Sample dependence of risk premiums
This paper discusses the framework within which to study how sample dependence is transferred from the data to the premiums via the density.
Modeling very large losses
In this paper, the author presents a simple probabilistic model for aggregating very large losses into a loss collection.
A maximum entropy approach to the loss data aggregation problem
This paper examines and compares alternative ways of solving the problem of determining the density of aggregate losses.
