Henryk Gzyl

Instituto de Estudios Superiores de Administración (IESA)

Professor

Ave, Iesa, San Bernardino

Caracas, 1010

Venezuela

http://www.iesa.edu.ve

SCHOLARLY PAPERS

16

DOWNLOADS

369

SSRN CITATIONS
Rank 36,084

SSRN RANKINGS

Top 36,084

in Total Papers Citations

5

CROSSREF CITATIONS

12

Scholarly Papers (16)

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 80 (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 77 (323,829)
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 69 (344,362)

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

4.

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 52 (395,923)
Citation 3

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5.

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 44 (424,648)

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

6.

Sample Dependence of Risk Premia

Number of pages: 19 Posted: 28 Nov 2017 Last Revised: 02 Nov 2018
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 23 (523,547)

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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: 03 Nov 2018
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Downloads 14 (578,701)

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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 7 (624,951)

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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.

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 2 (663,083)

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density reconstruction; error estimation; maximum entropy

10.

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 (675,073)
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loss distributions, sample dependence of loss distributions, sample dependence of risk premiums, Laplace transforms, fractional moments, maximum entropy

11.

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

12.

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

13.

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

14.

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.

15.

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 (692,145)
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loss data analysis, loss aggregation, maximum entropy method, density reconstruction,regulatory capital, operational risk

16.

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)
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Frequency Models, Modeling