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In this paper, we explore a static setting for the assessment of risk in the context of mathematical finance and actuarial science that takes into account model uncertainty in the distribution of a possibly infinite-dimensional risk factor. We study convex risk functionals that incorporate a...
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functions as well as a method of simulated moments estimation of a panel data model of earnings dynamics. Five of the algorithms … completeness, we add three popular local algorithms to the comparison—the Nelder-Mead downhill simplex algorithm, the Derivative … give a detailed comparison of algorithms, we use a set of benchmarking tools recently developed in the applied mathematics …
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functions as well as a method of simulated moments estimation of a panel data model of earnings dynamics. Five of the algorithms … completeness, we add three popular local algorithms to the comparison--the Nelder-Mead downhill simplex algorithm, the Derivative … give a detailed comparison of algorithms, we use a set of benchmarking tools recently developed in the applied mathematics …
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