Actuarial risk matrices: the nearest positive semidefinite matrix problem

DOI10.1080/10920277.2017.1317273MaRDI QIDQ5379243zbMATH OpenOpenAlexFDO

Authors Stefan Cutajar, Helena Šmigoc, Adrian O'Hagan

Publication date 28 May 2019

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2017.1317273

zbMATH Keywords

actuarial risk correlation matricesalternating projections methodnearest positive semidefinite matrix problemsemidefinite programmingshrinking method

Mathematics Subject Classification ID

Positive matrices and their generalizations; cones of matrices (15B48) Semidefinite programming (90C22)

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Cites work

• A Bisection Method for Measuring the Distance of a Stable Matrix to the Unstable Matrices
• A successive projection method
• An Algorithm for Restricted Least Squares Regression
• An interior-point method for approximate positive semidefinite completions
• Computing a nearest correlation matrix with factor structure
• Computing the nearest correlation matrix--a problem from finance
• Functional Operators (AM-21), Volume 1
• Geometric Programming: Methods, Computations and Applications
• scientific article; zbMATH DE number 3973706 (Why is no real title available?)
• scientific article; zbMATH DE number 1544076 (Why is no real title available?)
• scientific article; zbMATH DE number 878830 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• Matrix Analysis
• On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds
• Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block
• Semidefinite optimization
• The rate of convergence of dykstra's cyclic projections algorithm: The polyhedral case
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones

Describes a project that uses

Uses Software

• SeDuMi
• Mosek
• Matlab

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