Actuarial Risk Matrices: The Nearest Positive Semidefinite Matrix Problem
The manner in which a group of insurance risks are interrelated is commonly presented via a correlation matrix. Actuarial risk correlation matrices are often constructed using output from disparate modeling sources and can be subjectively adjusted, for example, increasing the estimated correlation b...
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| Published in: | North American actuarial journal Vol. 21; no. 4; pp. 552 - 564 |
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| Main Authors: | , , |
| Format: | Journal Article |
| Language: | English |
| Published: |
Routledge
02.10.2017
Taylor & Francis |
| ISSN: | 1092-0277, 2325-0453 |
| Online Access: | Get full text |
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