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Record W2162188008 · doi:10.1002/cjs.11238

A copula‐based risk aggregation model

2015· article· en· W2162188008 on OpenAlex

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.
fundA Canadian funder is recorded on the work.
venuePublished in a venue whose home country is Canada.
aboutThe title or abstract carries a Canadian signal from the geographic lexicon.

Bibliographic record

VenueCanadian Journal of Statistics · 2015
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicFinancial Risk and Volatility Modeling
Canadian institutionsMcGill University
FundersFinancial Services CommissionInstitute of Engineering Research, Seoul National UniversityNatural Sciences and Engineering Research Council of CanadaCanada Research Chairs
KeywordsCopula (linguistics)Bivariate analysisEconometricsConditional independenceCluster analysisStatisticsIndependence (probability theory)Computer scienceMathematics

Abstract

fetched live from OpenAlex

Abstract A flexible approach for risk aggregation is considered. The model consists of a tree structure, bivariate copulas, and marginal distributions. The construction relies on a conditional independence assumption whose implications are studied. A procedure for selecting the tree structure is developed using hierarchical clustering techniques, along with a distance metric based on Kendall's tau. Estimation, simulation, and model validation are also discussed. The approach is illustrated using data from a Canadian property and casualty insurance company. The Canadian Journal of Statistics 43: 60–81; 2015 © 2015 Statistical Society of Canada

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.001
metaresearch head score (Gemma)0.001
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Simulation or modeling · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: none
Teacher disagreement score0.836
Threshold uncertainty score0.997

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0010.001
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0000.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.084
GPT teacher head0.226
Teacher spread0.141 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it