Research output: Contribution to journal › Article › peer-review
A User-Friendly Algorithm for Detecting the Influence of Background Risks on a Model. / Грибкова, Надежда Викторовна; Zitikis, Ričardas.
In: Risks, Vol. 6, No. 3, 100, 14.09.2018, p. 1-15.Research output: Contribution to journal › Article › peer-review
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TY - JOUR
T1 - A User-Friendly Algorithm for Detecting the Influence of Background Risks on a Model
AU - Грибкова, Надежда Викторовна
AU - Zitikis, Ričardas
PY - 2018/9/14
Y1 - 2018/9/14
N2 - Background, or systematic, risks are integral parts of many systems and models in insurance and finance. These risks can, for example, be economic in nature, or they can carry more technical connotations, such as errors or intrusions, which could be intentional or unintentional. A most natural question arises from the practical point of view: is the given system really affected by these risks? In this paper we offer an algorithm for answering this question, given input-output data and appropriately constructed statistics, which rely on the order statistics of inputs and the concomitants of outputs. Even though the idea is rooted in complex statistical and probabilistic considerations, the algorithm is easy to implement and use in practice, as illustrated using simulated data.
AB - Background, or systematic, risks are integral parts of many systems and models in insurance and finance. These risks can, for example, be economic in nature, or they can carry more technical connotations, such as errors or intrusions, which could be intentional or unintentional. A most natural question arises from the practical point of view: is the given system really affected by these risks? In this paper we offer an algorithm for answering this question, given input-output data and appropriately constructed statistics, which rely on the order statistics of inputs and the concomitants of outputs. Even though the idea is rooted in complex statistical and probabilistic considerations, the algorithm is easy to implement and use in practice, as illustrated using simulated data.
KW - background risk
KW - systematic risk
KW - transfer function
KW - information processing
KW - order statistic
KW - concomitant
KW - background risk
KW - systematic risk
KW - transfer function
KW - information processing
KW - order statistic
KW - concomitant
KW - CAPITAL ALLOCATIONS
KW - ATTACKS
U2 - 10.3390/risks6030100
DO - 10.3390/risks6030100
M3 - Article
VL - 6
SP - 1
EP - 15
JO - Risks
JF - Risks
SN - 2227-9091
IS - 3
M1 - 100
ER -
ID: 34784929