Explicit Solutions to Correlation Matrix Completion Problems for Risk and Insurance
1 : Heriot-Watt University
Agenda
1 Risk and Insurance Context
2 Objectives of the Problem
3 Proposed Solution Framework
4 Dual Problem Approaches to Correlation Completion vs Covariance Selection
5 Maximal determinant completions
6 Appendix Examples of Insurance Application
7 Appendix Proof of Main Theorem
- Poster