Quantifying distributional model risk via optimal transport (Q5219730)
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scientific article; zbMATH DE number 7179974
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Quantifying distributional model risk via optimal transport |
scientific article; zbMATH DE number 7179974 |
Statements
Quantifying Distributional Model Risk via Optimal Transport (English)
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12 March 2020
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model risk
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distributionally robust optimization using Wasserstein distances
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DRO
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Kullback-Liebler divergence
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ruin probabilities
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diffusion approximations
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0.7819445729255676
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0.7472020387649536
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0.7406657934188843
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0.7396215796470642
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0.7257359027862549
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