Maxentropic approach to decompound aggregate risk losses

Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods

“…Denote as well λ * M and λ * e the corresponding minimizers of (8) and by f M (x) and f e (x) the maxentropic densities. Proof.…”

“…At this point we add that the reconstruction error in the maxentropic procedure, that is, the norm of the gradient of the dual entropy (8), was less than 10 −6 in all reconstructions.…”