Maxentropic approach to decompound aggregate risk losses

The purpose of this methodological note is to examine a combination of disentangling and decompounding procedures, to get as close as possible to that goal. The disentangling procedure is actually a two step process: First, a preliminary analysis is carried out to determine the number of risks groups present. Once that is decided, the underlying model for the frequency of each type of risk is worked out. After that we use the maxentropic techniques in the decompounding stage to determine the distribution of individual losses that aggregated yield the observed total loss.