In this work, we propose a novel family of procedures for deriving a discrete counterpart (supported on a lattice) to a continuos probability distribution, based on the minimization of an appropriate distance between cumulative distribution functions.

Discretization of continuous probability distributions with application to the evaluation of aggregate risk / A. Barbiero, A. Hitaj. ((Intervento presentato al 11. convegno IECMSA 2022 : August 29th - September, 1st tenutosi a Istanbul nel 2022.

Discretization of continuous probability distributions with application to the evaluation of aggregate risk

A. Barbiero
Primo
;
2022

Abstract

In this work, we propose a novel family of procedures for deriving a discrete counterpart (supported on a lattice) to a continuos probability distribution, based on the minimization of an appropriate distance between cumulative distribution functions.
convolution, loss distribution, Panjer’s formula
Settore SECS-S/01 - Statistica
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Sakarya University
Sakarya University of Applied Sciences
Yildiz Teknik Universitesi
Kirklareli Universitesi
Turkic World Mathematical Society
http://www.iecmsa.org/abstract/
Discretization of continuous probability distributions with application to the evaluation of aggregate risk / A. Barbiero, A. Hitaj. ((Intervento presentato al 11. convegno IECMSA 2022 : August 29th - September, 1st tenutosi a Istanbul nel 2022.
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Descrizione: abstract pubblicato; il book of abstracts completo è scaricabile liberamente da qui: http://www.iecmsa.org/media/dosyalar/2022_iecmsa_abstract_book_22_09_2022.pdf
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/938688
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