Similar Search Results

Blanchet, Jose; Lam, Henry; Tang, Qihe; Yuan, Zhongyi - In: North American actuarial journal : NAAJ ; leading the … 23 (2019) 1, pp. 33-63

Persistent link: https://www.econbiz.de/10012180603

A shrinkage approach to improve direct bootstrap resampling under input uncertainty

Song, Eunhye; Lam, Henry; Barton, Russell R. - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 4, pp. 1023-1039

Persistent link: https://www.econbiz.de/10015163721

Robust analysis in stochastic simulation : computation and performance guarantees

Ghosh, Soumyadip; Lam, Henry - In: Operations research 67 (2019) 1, pp. 232-249

Persistent link: https://www.econbiz.de/10012000817

The empirical likelihood approach to quantifying uncertainty in sample average approximation

Lam, Henry; Zhou, Enlu - In: Operations research letters 45 (2017) 4, pp. 301-307

Persistent link: https://www.econbiz.de/10011740327

Optimization-based calibration of simulation input models

Goeva, Aleksandrina; Lam, Henry; Qian, Huajie; Zhang, Bo - In: Operations research 67 (2019) 5, pp. 1362-1382

Persistent link: https://www.econbiz.de/10012107785

Subsampling to enhance efficiency in input uncertainty quantification

Lam, Henry; Qian, Huajie - In: Operations research 70 (2022) 3, pp. 1891-1913

Persistent link: https://www.econbiz.de/10013366289

Optimal uncertainty size in distributionally robust inverse covariance estimation

Blanchet, Jose; Si, Nian - In: Operations research letters 47 (2019) 6, pp. 618-621

Persistent link: https://www.econbiz.de/10012131899

Quantifying distributional model risk via optimal transport

Blanchet, Jose; Murthy, Karthyek - In: Mathematics of operations research 44 (2019) 2, pp. 565-600

Persistent link: https://www.econbiz.de/10012028635

Stochastic Risk Networks : Modeling, Analysis and Efficient Monte Carlo

Blanchet, Jose; Li, Juan; Shi, Yixi - 2017

We propose an insurance network model that allows to deal with default contagion risks with a particular aim of capturing cascading effects at the time of defaults. We capture these effects by finding an equilibrium allocation of settlements which can be found as the unique optimal solution of...

Persistent link: https://www.econbiz.de/10014172366