Quantifying distributional model risk via optimal transport
Year of publication: |
2019
|
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Authors: | Blanchet, Jose ; Murthy, Karthyek |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 44.2019, 2, p. 565-600
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Subject: | model risk | distributionally robust optimization using Wasserstein distances | DRO | Kullback-Liebler divergence | ruin probabilities | diffusion approximations | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics | Risiko | Risk | Risikomodell | Risk model | Modellierung | Scientific modelling |
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