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Explicit solutions to correlation matrix completion problems, with an application to risk management and insurance
We derive explicit solutions to the problem of completing a partially specified correlation matrix. Our results apply to several block structures for the unspecified entries that arise in insurance and risk management, where an insurance company with many lines of business is required to satisfy cer...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
The Royal Society Publishing
2018
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5882745/ https://www.ncbi.nlm.nih.gov/pubmed/29657821 http://dx.doi.org/10.1098/rsos.172348 |