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Robust risk aggregation with neural networks

We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known. Furthermore, a current best guess for the distribution, called reference measure...

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Detalles Bibliográficos
Autores principales: Eckstein, Stephan, Kupper, Michael, Pohl, Mathias
Formato: Online Artículo Texto
Lenguaje:English
Publicado: John Wiley and Sons Inc. 2020
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7540357/
https://www.ncbi.nlm.nih.gov/pubmed/33041536
http://dx.doi.org/10.1111/mafi.12280