Robust Actuarial Risk Analysis
From MaRDI portal
Publication:5742897
Recommendations
- Bayesian approach to measuring parameter and model risk in loss ratio estimation
- Joint generalized quantile and conditional tail expectation regression for insurance risk analysis
- Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework
- A two-stage model for high-risk prediction in insurance ratemaking: asymptotics and inference
- Functional sensitivity analysis of ruin probability in the classical risk models
Cites work
- scientific article; zbMATH DE number 3522963 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
- Ambiguous joint chance constraints under mean and dispersion information
- Ambiguous risk constraints with moment and unimodality information
- Bounding separable recourse functions with limited distribution information
- Bounding wrong-way risk in CVA calculation
- Bounds for functions of multivariate risks
- Computation of sharp bounds on the distribution of a function of dependent risks
- Data-driven chance constrained stochastic program
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Distributionally Robust Convex Optimization
- Distributionally robust expectation inequalities for structured distributions
- Distributionally robust optimization and its tractable approximations
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Empirical likelihood
- Estimating Divergence Functionals and the Likelihood Ratio by Convex Risk Minimization
- Generalized Chebychev Inequalities: Theory and Applications in Decision Analysis
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- Lectures on Stochastic Programming
- Likelihood robust optimization for data-driven problems
- Measuring distribution model risk
- Minimax optimal control of stochastic uncertain systems with relative entropy constraints
- On Information and Sufficiency
- On distributionally robust extreme value analysis
- Optimal Inequalities in Probability Theory: A Convex Optimization Approach
- Pathwise sensitivity analysis in transient regimes
- Quantifying distributional model risk via optimal transport
- Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization
- Robust Control of Markov Decision Processes with Uncertain Transition Matrices
- Robust Dynamic Programming
- Robust bounds on risk-sensitive functionals via Rényi divergence
- Robust empirical optimization is almost the same as mean-variance optimization
- Robust portfolio control with stochastic factor dynamics
- Robust risk measurement and model risk
- Robust sample average approximation
- Robust sensitivity analysis for stochastic systems
- Robustness
- Sample out-of-sample inference based on Wasserstein distance
- Sharp bounds for sums of dependent risks
- Statistics of robust optimization: a generalized empirical likelihood approach
- Tail analysis without parametric models: a worst-case perspective
- The complete mixability and convex minimization problems with monotone marginal densities
- The empirical likelihood approach to quantifying uncertainty in sample average approximation
- The sample average approximation method for stochastic discrete optimization
- Worst-Case Expected Shortfall with Univariate and Bivariate Marginals
Cited in
(13)- Bayesian approach to measuring parameter and model risk in loss ratio estimation
- Risk analysis model based on a probabilistic neural network in an underwriting area
- Vine copula modeling dependence among cyber risks: a dangerous regulatory paradox
- Worst-case moments under partial ambiguity
- Joint generalized quantile and conditional tail expectation regression for insurance risk analysis
- Model Uncertainty and Correctability for Directed Graphical Models
- Estimators of contingent probabilities and means with actuarial applications
- Robust risk management
- Incorporating model uncertainty into optimal insurance contract design
- Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework
- Risk analysis with R language
- Myopic robust index tracking with Bregman divergence
- Special feature: risk and statistics in actuarial science
This page was built for publication: Robust Actuarial Risk Analysis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5742897)
