Complex risk statistics with scenario analysis

Autor:	Sun, Fei, Dong, Yichuan
Rok vydání:	2020
Předmět:	Quantitative Finance - Risk Management
Druh dokumentu:	Working Paper
Popis:	Complex risk is a critical factor for both intelligent systems and risk management. In this paper, we consider a special class of risk statistics, named complex risk statistics. Our result provides a new approach for addressing complex risk, especially in deep neural networks. By further developing the properties related to complex risk statistics, we are able to derive dual representation for such risk. Comment: arXiv admin note: text overlap with arXiv:1812.06185
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2003.09255 Zobrazit plný text záznamu View this record from Arxiv