Henryk Gzyl

Instituto de Estudios Superiores de Administración (IESA)

Professor

Ave, Iesa, San Bernardino

Caracas, 1010

Venezuela

http://www.iesa.edu.ve

SCHOLARLY PAPERS

18

DOWNLOADS

418

SSRN CITATIONS
Rank 40,518

SSRN RANKINGS

Top 40,518

in Total Papers Citations

5

CROSSREF CITATIONS

13

Scholarly Papers (18)

1.

Calibration of Short Rate Term Structure Models from Bid-Ask Coupon Bond Prices

Physica A: Statistical Mechanics and its Applications, 492, 1456-1472. Available at: https://www.sciencedirect.com/science/article/pii/S0378437117311950
Number of pages: 17 Posted: 31 May 2017 Last Revised: 02 Apr 2019
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 83 (292,292)

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Zero Coupon Bond Prices, Short Rate Model Calibration, Maximum Entropy in the Mean, Non-Parametric Method

2.

A Maximum Entropy Approach to the Loss Data Aggregation Problem

Journal of Operational Risk, Vol. 11, No. 1, 2016
Number of pages: 22 Posted: 24 Jan 2016 Last Revised: 03 Nov 2018
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 78 (416,561)
Citation 4

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Loss data analysis, loss aggregation, maximum entropy method, density reconstruction

3.

Maxentropic Approach to Decompound Aggregate Risk Losses

Insurance: Mathematics and Economics, Volume 64, September 2015, Pages 326-336. Available at: https://www.sciencedirect.com/science/article/pii/S0167668715001146
Number of pages: 11 Posted: 13 Mar 2015 Last Revised: 05 Nov 2018
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 70 (442,088)

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Frequency, disentangling, Decompounding, Density of individual losses, Maximum entropy

4.

Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean

Number of pages: 28 Posted: 30 May 2018 Last Revised: 20 Jul 2018
Argimiro Arratia and Henryk Gzyl
Polytechnic University of Catalonia (UPC) and Instituto de Estudios Superiores de Administración (IESA)
Downloads 65 (459,267)
Citation 1

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Econophysics; distorsion function; maximum entropy in mean; portfolio optimization; risk neutral measures; asset pricing

5.

Loss Data Analysis: Analysis of the Sample Dependence In Density Reconstruction by Maxentropic Methods

Insurance: Mathematics and Economics, 71, 145-153
Number of pages: 9 Posted: 23 Sep 2015 Last Revised: 05 Nov 2018
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 53 (505,642)
Citation 3

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6.

Sample Dependence of Risk Premia

Number of pages: 19 Posted: 28 Nov 2017 Last Revised: 09 Sep 2021
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 28 (634,971)

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Sample dependence of loss distributions, sample dependence of risk premia, maximum entropy

7.

Loss Data Analysis with Maximum Entropy

In book: Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer. MAF 2018, DOI: 10.1007/978-3-319-89824-7
Number of pages: 5 Posted: 27 Apr 2018 Last Revised: 07 Sep 2021
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 17 (716,078)

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loss distributions, sample dependence, maximum entropy

8.

Maximum Entropy Methods for Loss Data Analysis: Aggregation and Disaggregation Problems

Number of pages: 34 Posted: 03 May 2019
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 11 (768,095)

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Loss data analysis, loss data aggregation, loss data disaggregation, sample dependence of loss distributions, sample dependence of risk premia, maximum entropy method

9.

Classical and quantum harmonic oscillators subject to a time dependent force

Number of pages: 14 Posted: 08 Apr 2022
Henryk Gzyl
Instituto de Estudios Superiores de Administración (IESA)
Downloads 6 (815,585)

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Forced harmonic oscillator, canonical transformation, quantization of the forced oscillator

10.

Density Reconstructions With Errors in the Data

WIth Silvia Mayoral & Henryk Gzyl. Entropy16, 3257-3272; DOI/10.3390/e16063257
Number of pages: 16 Posted: 06 Dec 2018
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 5 (825,262)

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density reconstruction; error estimation; maximum entropy

11.

A Numerical Approach to the Risk Capital Allocation Problem

Journal of Risk, Vol. 23, No. 5
Number of pages: 24 Posted: 13 Sep 2021
Henryk Gzyl and Silvia Mayoral Blaya
Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 1 (872,692)
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numerical risk capital allocation; corporate; financial and insurance risks; risk measure determination; inverse problem; maximum entropy in the mean (MEM).

12.

Sample Dependence of Risk Premiums

Journal of Operational Risk, Forthcoming
Number of pages: 17 Posted: 30 May 2019
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 1 (872,692)
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loss distributions, sample dependence of loss distributions, sample dependence of risk premiums, Laplace transforms, fractional moments, maximum entropy

13.

Two Maxentropic Approaches to Determine the Probability Density of Compound Risk Losses

E. Gomes-Gonçalves et al, Insurance: Mathematics and Economics 62 (2015) 42–53
Posted: 03 Feb 2019
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid

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Total Loss Distribution, Maximum Entropy, Methods, Laplace Transform, Decompounding

14.

Which Portfolio Is Better?: A New Criterion for Portfolio Comparison

Posted: 11 Nov 2018
Henryk Gzyl
Instituto de Estudios Superiores de Administración (IESA)

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Portfolio Comparisons, Naive Portfolio, Portfolio Performance

15.

Which Portfolio is Better? A Discussion of Several Possible Comparison Criteria

Posted: 14 Jun 2018
Henryk Gzyl and Alfredo Ríos
Instituto de Estudios Superiores de Administración (IESA) and Instituto de Estudios Superiores de Administración (IESA)

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portfolio comparisons, naive portfolio, portfolio performance

16.

Modeling Very Large Losses

Journal of Operational Risk, Forthcoming
Number of pages: 9 Posted: 08 May 2018
Henryk Gzyl
Instituto de Estudios Superiores de Administración (IESA)
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modeling very large losses, loss distribution, value-at-risk (VaR), expected shortfall (ES), very large losses.

17.

A Maximum Entropy Approach to the Loss Data Aggregation Problem

Journal of Operational Risk, Vol. 11, No. 1, 2016
Number of pages: 22 Posted: 14 Jun 2016
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 0 (889,999)
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loss data analysis, loss aggregation, maximum entropy method, density reconstruction,regulatory capital, operational risk

18.

Disentangling Frequency Models

Journal of Operational Risk, Vol. 9, No. 2, 2014
Number of pages: 20 Posted: 09 Jun 2016
Erika Gomes-Gonçalves and Henryk Gzyl
Independent and Instituto de Estudios Superiores de Administración (IESA)
Downloads 0 (889,999)
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Frequency Models, Modeling