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Robust Actuarial Risk Analysis

Published:2019-01-02 Issue:1 Volume:23 Page:33-63
ISSN:1092-0277
Container-title:North American Actuarial Journal
language:en
Short-container-title:North American Actuarial Journal

Author:

Blanchet Jose¹,Lam Henry²,Tang Qihe³,Yuan Zhongyi⁴

Affiliation:

1. Department of Management Science and Engineering, Stanford University, Stanford, California

2. Department of Industrial Engineering and Operations Research, Columbia University, New York, New York

3. Department of Statistics and Actuarial Science, University of Iowa, Iowa City, Iowa

4. Department of Risk Management, Pennsylvania State University, University Park, Pennsylvania

Funder

Society of Actuaries

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/10920277.2018.1504686

Reference46 articles.

1. Accelerated Sensitivity Analysis in High-Dimensional Stochastic Reaction Networks

2. Pathwise Sensitivity Analysis in Transient Regimes

3. Robust Bounds on Risk-Sensitive Functionals via Rényi Divergence

4. Robust Solutions of Optimization Problems Affected by Uncertain Probabilities

5. Optimal Inequalities in Probability Theory: A Convex Optimization Approach

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Research trends in insurance risk from 2000–2022: A bibliometric analysis of the literature;Risk Governance and Control: Financial Markets and Institutions;2024

2. Robust Importance Sampling for Stochastic Simulations with Uncertain Parametric Input Model;2023 Winter Simulation Conference (WSC);2023-12-10

3. Model Error (or Ambiguity) and Its Estimation, with Particular Application to Loss Reserving;Risks;2023-10-25

4. Vine copula modeling dependence among cyber risks: A dangerous regulatory paradox;Applied Stochastic Models in Business and Industry;2023-04-26

5. Worst-case moments under partial ambiguity;ASTIN Bulletin;2023-03-13

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