C/ Madrid 124,
Getafe, Madrid 28093
Universidad Carlos III de Madrid
Inefficienct Quotes, Bid-Ask Spread, Law of One Price, Index Options
Loss data analysis, loss aggregation, maximum entropy method, density reconstruction
Frequency, disentangling, Decompounding, Density of individual losses, Maximum entropy
Sample dependence of loss distributions, sample dependence of risk premia, maximum entropy
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Total Loss Distribution, Maximum Entropy, Methods, Laplace Transform, Decompounding
Conditional Value at Risk, CVaR, Tail VaR, Coherent Risk, Measures, Tail Risk, Market Risk, Conditional Distribution
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