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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
John Wiley and Sons Inc.
2020
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| 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 |