Sensitivity analysis with ^2-divergences
DOI10.1016/J.INSMATHECO.2021.06.007zbMATH Open1471.91475OpenAlexW3119245296MaRDI QIDQ2234772FDOQ2234772
Authors: Vaishno Devi Makam, Pietro Millossovich, A. Tsanakas 
Publication date: 19 October 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.06.007
Recommendations
sensitivity analysissimulationKullback-Leibler divergence\(\chi^2\)-divergencesensitivity measuresreverse stress testing
Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited In (7)
- Sensitivity analysis for rare events based on Rényi divergence
- Stressing dynamic loss models
- Inference duality as a basis for sensitivity analysis
- Sensitivity analysis for the block Cholesky downdating problem
- Sensitivity analysis algorithm for the state chi-square test
- Construction of rating systems using global sensitivity analysis: a numerical investigation
- Reverse sensitivity testing: what does it take to break the model?
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