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Record W3121344495

Aggregating risks with partial dependence information

2016· preprint· en· W3121344495 on OpenAlexaff
Daniël Linders, Fan Yang

Bibliographic record

VenueRePEc: Research Papers in Economics · 2016
Typepreprint
Languageen
FieldDecision Sciences
TopicRisk and Portfolio Optimization
Canadian institutionsUniversity of Waterloo
Fundersnot available
KeywordsUpper and lower boundsRegular polygonMathematicsOrder (exchange)Distribution (mathematics)CombinatoricsApplied mathematicsMathematical optimizationMathematical analysisEconomics
DOInot available

Abstract

fetched live from OpenAlex

We consider the problem of aggregating dependent risks in the presence of partial dependence information. More concretely, we assume that the risks involved belong to independent subgroups and the dependence structure within each group is unknown. We show that a sharp convex upper bound exists in this setting and that the constrained upper bound improves the existing, unconstrained, comonotonic up- per bound in convex order. Moreover, we characterize the constrained upper bound in terms of the distribution of its sum. Numerical illustrations are provided to show the improvement of the new upper bound.

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.

How this classification was reachedexpand

Full frame machine prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.

metaresearch head score (Codex)0.007
metaresearch head score (Gemma)0.024
Version: metacan-v3-hybrid-931329e0061cValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Simulation or modeling · Consensus signal: Simulation or modeling
GenreCandidate signal: Empirical · Consensus signal: none
Teacher disagreement score0.007
Threshold uncertainty score0.035

Distilled classifier scores by category (both heads)

CategoryCodexGemma
Metaresearch0.0070.024
Meta-epidemiology (narrow)0.0030.001
Meta-epidemiology (broad)0.0030.002
Bibliometrics0.0010.002
Science and technology studies0.0010.002
Scholarly communication0.0030.005
Open science0.0030.004
Research integrity0.0020.003
Insufficient payload (model declined to judge)0.0030.000

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 head0.110
GPT teacher head0.407
Teacher spread0.297 · 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

Classification

machine, unvalidated

Machine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designSimulation or modeling
Domainnot available
GenreEmpirical

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations0
Published2016
Admission routes1
Has abstractyes

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