DOI

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.
Переведенное названиеДружественный по отношению к пользователю алгоритм определения влияния фоновых рисков на модель
Язык оригиналаанглийский
Номер статьи100
Страницы (с-по)1-15
Число страниц11
ЖурналRisks
Том6
Номер выпуска3
DOI
СостояниеОпубликовано - 14 сен 2018

    Области исследований

  • background risk, systematic risk, transfer function, information processing, order statistic, concomitant

    Предметные области Scopus

  • Экономика, эконометрия, и финансы (все)
  • Математика (все)

ID: 34784929