Quantifying Distributional Model Risk via Optimal Transport (Q5219730)
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scientific article; zbMATH DE number 7179974
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quantifying Distributional Model Risk via Optimal Transport |
scientific article; zbMATH DE number 7179974 |
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Quantifying Distributional Model Risk via Optimal Transport (English)
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12 March 2020
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model risk
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distributionally robust optimization using Wasserstein distances
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DRO
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Kullback-Liebler divergence
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ruin probabilities
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diffusion approximations
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