Robust Actuarial Risk Analysis (Q5742897)

scientific article; zbMATH DE number 7052255

Language	Label	Description	Also known as
English	Robust Actuarial Risk Analysis	scientific article; zbMATH DE number 7052255

Statements

instance of

scholarly article

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title

Robust Actuarial Risk Analysis (English)

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zbMATH Open document ID

1411.91266

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DOI

10.1080/10920277.2018.1504686

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North American Actuarial Journal

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publication date

8 May 2019

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Mathematics Subject Classification ID

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actuarial risk analysis

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optimization problems

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describes a project that uses

ROME

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/10920277.2018.1504686

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OpenAlex ID

W2911500812

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cites work

Pathwise Sensitivity Analysis in Transient Regimes

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Robust Bounds on Risk-Sensitive Functionals via Rényi Divergence

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Robust sample average approximation

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Optimal Inequalities in Probability Theory: A Convex Optimization Approach

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Bounding separable recourse functions with limited distribution information

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Sample Out-of-Sample Inference Based on Wasserstein Distance

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On distributionally robust extreme value analysis

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Quantifying Distributional Model Risk via Optimal Transport

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Q4821526

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MEASURING DISTRIBUTION MODEL RISK

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Q4101268

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Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

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Worst-Case Expected Shortfall with Univariate and Bivariate Marginals

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Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach

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Bounds for functions of multivariate risks

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Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations

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Robust Portfolio Control with Stochastic Factor Dynamics

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Robust risk measurement and model risk

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BOUNDING WRONG‐WAY RISK IN CVA CALCULATION

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Distributionally Robust Optimization and Its Tractable Approximations

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Robust empirical optimization is almost the same as mean-variance optimization

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Ambiguous Joint Chance Constraints Under Mean and Dispersion Information

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Robustness

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Robust Dynamic Programming

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Data-driven chance constrained stochastic program

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The Sample Average Approximation Method for Stochastic Discrete Optimization

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On Information and Sufficiency

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Recovering Best Statistical Guarantees via the Empirical Divergence-Based Distributionally Robust Optimization

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Robust Sensitivity Analysis for Stochastic Systems

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Tail Analysis Without Parametric Models: A Worst-Case Perspective

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The empirical likelihood approach to quantifying uncertainty in sample average approximation

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Ambiguous risk constraints with moment and unimodality information

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Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization

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Estimating Divergence Functionals and the Likelihood Ratio by Convex Risk Minimization

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Robust Control of Markov Decision Processes with Uncertain Transition Matrices

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Q2756704

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Minimax optimal control of stochastic uncertain systems with relative entropy constraints

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A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions

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Computation of sharp bounds on the distribution of a function of dependent risks

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Sharp Bounds for Sums of Dependent Risks

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Lectures on Stochastic Programming

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Generalized Chebychev Inequalities: Theory and Applications in Decision Analysis

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Distributionally robust expectation inequalities for structured distributions

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The complete mixability and convex minimization problems with monotone marginal densities

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Likelihood robust optimization for data-driven problems

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Distributionally Robust Convex Optimization

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Wikidata QID

Q128441329

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Sitelinks

Mathematics(1 entry)

mardi Publication:5742897