【摘 要】
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Modeling inter-dependence among multiple risks often faces statistical as well as modeling challenges, with considerable uncertainty arising naturally. In t
【出 处】
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2015 Peking University Youth Probability Forum(2015年北京大学青年概率
论文部分内容阅读
Modeling inter-dependence among multiple risks often faces statistical as well as modeling challenges, with considerable uncertainty arising naturally. In this talk, we present the framework of risk aggregation with dependence uncertainty, its currently expanding research developments, and open questions. We discuss selected mathematical problems which may include: mixability, asymptotic shape of the aggregation, model uncertainty of risk measures, extreme risk scenarios, and a connection with extreme-value theory.
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