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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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| Udgivet i: | Math Financ |
|---|---|
| Main Authors: | , , |
| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
John Wiley and Sons Inc.
2020
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| Fag: | |
| Online adgang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7540357/ https://ncbi.nlm.nih.gov/pubmed/33041536 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1111/mafi.12280 |
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